Robert - 'Robyn' to his friends - was the fourth son of the Treasurer of England, Sir Francis Knollys Senior, and his wife, Catherine Carey, a maternal cousin of Queen Elizabeth I. He grew up on his father's country estate at Greys' Court and at his town-house in Reading.

At the age of about twenty-three, he accompanied Sir William Drury, the Marshal and deputy-governor of Berwick, as a captain on his raids into Scotland in 1570. Two years later, he represented Reading in Parliament, but after marrying Catherine, daughter and heiress of Sir Rowland Vaughan of Porthamel in Brecknockshire, he preferred to represent his adopted Welsh county (from 1589 until 1604).  Apart from his Welsh estates, he also had a residence in St. Martin's Lane at Charing in Westminster, and continued to spend much time in the Thames Valley.

Robert had been appointed Usher of the Mint in the Tower of London on 5th February 1578 and by 1587 was a Gentleman of the Privy Chamber. He inherited the office of Keeper of Sion House upon the death of his father in 1596 and, the following year, accompanied his nephew, the Earl of Essex, on the 'Islands Voyage' to the Azores. They attacked the Spanish but defied the Queen's orders by pursuing the treasure fleet rather than ensuring the Spanish royal navy was disabled. Robert became a key member of the Earl's entourage and, later that year, is recorded in Finisterre, carrying messages from him to the Queen. However, unlike his brother, Francis, he was never implicated in the infamous Essex Rebellion. 

Robert was quite a sportsman. He used to play bowls against the Earl of Shrewsbury and was famous in the tilt-yards, where he was so badly hurt in 1602 that it was thought he would not recover. However, by the following year he had been made an esquire of the Body and on 24th July, he was created a Knight of the Bath. He did eventually die after a fall from his horse, not in the jousts, but while riding on his brother's estate at Caversham in January 1619. Sir Robert and his wife had no sons, but two daughters: Lettice the wife of the Sheriff of Norfolk, Framlingham Gawdy of West Harling, and Frances (sometimes mistakenly called Catherine) the wife of Sir Charles Vaughan, eventually of Porthamel.