While touring with bands, Knight came to Hollywood and appeared in several musical short films for MGM and Paramount between 1928 and 1932. Mae West gave him his first notable film role in She Done Him Wrong, and he went on to play in hundreds of films over the next 30 years. By the 1940s, he was primarily playing in Western movies and was voted one of the Top Ten Money-Making Stars in Westerns in 1940.