Knox was born in Strathroy, Ontario and graduated from the University of Western Ontario. He later moved to Boston, Massachusetts to perform on the stage with the Boston Repertory Theatre. After the company folded following the stock market crash of 1929, Knox returned to London, Ontario where, for the next two years, he worked as a reporter for The London Advertiser before moving to London, England where, during the 1930s, he appeared in several films. He starred opposite Jessica Tandy in the 1940 Broadway production of Jupiter Laughs and, in 1944, he was chosen by Darryl F. Zanuck to star in Wilson, the biographical film about American President Woodrow Wilson, for which he won a Golden Globe Award and was nominated for the Academy Award for Best Actor. However, during the McCarthy Era, he was blacklisted by the Hollywood film studio bosses, and he returned to Britain.