Ministry
In 1913 Knox resigned from the civil service. He studied theology at St Anselm's College, Cambridge, and was ordained deacon in 1914, and priest the following year, serving as assistant curate at St Mary's, Graham Street, London. He privately made vows of poverty and celibacy. On the outbreak of the First World War, he volunteered to serve as an army chaplain, but was turned down by the War Office, which was suspicious of Anglo-Catholics.
In 1920 Knox moved to Cambridge as a member of the Oratory of the Good Shepherd until 1922. He then spent two years in parish work at St Saviour's, Hoxton, in east London as assistant priest. In 1924 he left London and returned to Cambridge to become Warden of the Oratory of the Good Shepherd. While holding the wardenship he became a member of Pembroke College, Cambridge, where he received the degrees of Bachelor of Divinity (1937) and Doctor of Divinity (1943). In 1941 he was appointed chaplain to the college, and in 1946 was elected a fellow.
In the Dictionary of National Biography, Bishop Edward Wynn divided Knox's published works into three categories. First, publications that were essentially explanatory, putting the case for the Anglican school of Liberal Catholicism. Knox's younger brother Ronald, having left the Church of England and joined the Roman Catholic Church, was an influential priest and writer. Wilfred, according to Natalie Watson in the Oxford Dictionary of National Biography "became an outspoken representative of the Anglo-Catholic movement. ... [In] popular and theological apologetics, he outlined the differences between Anglo-Catholicism and Roman Catholicism" in such books as The Catholic Movement in the Church of England (1923) and (with Alec Vidler) in The Development of Modern Catholicism (1933). Secondly, there were books of guidance on how to follow the Christian way of life. The best known of these was Meditation and Mental Prayer (1927), which gave "simple and direct teaching on prayer, penitence, and the love of God". Thirdly, Wynn identifies works of pure scholarship. Knox approached biblical studies from the standpoint of a classical scholar. He examined how Greek culture influenced not only the language but also the thinking of the writers of the New Testament. He frequently contributed to The Journal of Theological Studies. His books on the Hellenic aspect of Christian history include St Paul and the Church of Jerusalem (1925), St Paul and the Church of the Gentiles (1939) and Some Hellenistic Elements in Primitive Christianity (1944 – based on his Schweich lectures of 1942). His last book, The Sources of the Synoptic Gospels was nearly complete when he died. The manuscript was edited by Henry Chadwick and published posthumously in two volumes (1953 and 1957).
Knox died 9 February 1950 in Cambridge at the age of 63. So many wanted to attend his memorial service in Pembroke chapel that there had to be a ballot for tickets. Canon Henry R. T. Brandreth said of him, "There has never been anyone like Father Wilfred and it is impossible to believe that there ever will be. ... He sacrificed his own interests and inclinations on [the Oratory's] behalf with a wonderful steadfastness."