The Avenger Knight is first encountered on the fifth floor of Yukiko's Castle as a sub-boss that must be defeated in order to continue. Using elemental spells is recommended along with Personas which reduce Physical damage on the protagonist.
Later on, the Avenger Knight is encountered on the sixth and seventh floors as a regular enemy. It drops Bronze Reins when defeated. Selling 10 Bronze Reins at Daidara will unlock the Metal Jacket unisex armor and Feng Shui Brace accessory.
It also drops an Angel Statue, an item required to complete Quest 04: Acquire an Angel Statue. As a strategy for defeating the regular Avenger Knight, simply use Hama skills.
The Avenger Knight is first encountered as a sub-boss on the fifth floor of Yukiko's Castle within the Midnight Channel. It will lead off by using Tarukaja to boost its Attack power at the start of battle. It is now weak against Fire but will attempt to cover that weakness with Red Wall. If Chie has the Skull Cracker skill, it can be used to inflict the Panic ailment on the Avenger Knight and keep it from attacking for several turns.
Avenger Knights can later be encountered as Red Shadows on the seventh floor of Yukiko's Castle. They may also be summoned by Positive King as long as two are present in the battle. The Positive King may use Red Wall to cover the Avenger Knight's weakness to Fire skills, but Chie can still use her Skull Cracker skill to incapacitate the Knights for a few turns. Trying to knock down and Dizzy a Positive King will keep them from immediately casting Red Wall on the Avenger Knight after summoning it, but killing the second Positive King will cause a Secret Bambino to be summoned instead.
When defeated, Avenger Knights may drop Bronze Reins. Selling 4 Bronze Reins will unlock the Metal Jacket unisex armor in the shop and selling a total of 5 Bronze Reins will unlock the Feng Shui Brace accessory.