Champion Knights first appear as red shadows in the second half of the Yabbashah Block within Tartarus. Like earlier red shadows, they will be the subject of one of Elizabeth's subjugation requests for this block. Returning to Elizabeth with 4 Knight's Reins will complete the request.
Champion Knights will later appear in the lower floors of the first half of the Tziah Block.
In The Answer, Champion Knights will appear in the first section of Caina within the Abyss of Time.
Persona 4
Champion Knights appear on floors 9 and 10 of Marukyu Striptease within the Midnight Channel. They may appear alone, in pairs as Red Shadows, or accompanied by a Liberating Idol which will Enrage them with Balzac and magnify their attack power. Alone, they will typically attack or boost their damage with Power Charge before attacking. Upon being defeated, they may drop the Steel Reins material. Selling 10 Steel Reins at Daidara will unlock the Action Vest female armor in the shop.
In Golden, Champion Knights appear on floors 5 through 10. They may drop Lepidolite for trade at Shiroku Pub.