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Awarding the album four and a half stars at Jesus Freak Hideout, Scott Fryberger stated: "Live at the Knight is John Mark McMillan's first ever live album, and he, his band, and the sound crew all nailed it." Cal Moore at The Christian Manifesto gave the album five stars and wrote that "Live at The Knight certainly fits in the 'best of' category." Rating the album four stars for New Release Today, Mary Nikkel said: "If a lot of contemporary worship has begun to feel dry and sterile, this rowdy, passionate set of live songs might be exactly the refreshment you need." In a ten out of ten review by Cross Rhythms, Stephen Curry said, "this whole live experience is masterfully executed from one of the Church's finest artists."