Serial Experiments Lain (1998) is an anime series about an adolescent girl in suburban Japan named Lain Iwakura, and her introduction to the Wired, an international computer network.
Serial Experiments Lain
Lain: No matter where you go, everybody's connected.
Mr. Iwakura: I think that my little girl has, perhaps, become obsessed with the WIRED. It's just an advanced medium for communication. Don't get it confused with the real world.
Source: In other words, the Knights do not physically exist, but are rather thought itself that occurs inside the Wired. They can be thought of as a religion that is spreading through the Wired and into your subconscious.
Mrs. Iwakura: The body exists only to verify one's own existence.