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King's Knight is a vertical scrolling shooter. As such, you will start at the bottom of each stage, and work your way to the top. Maps of each stage are provided by the walkthrough, and you should begin each stage's page at the bottom.

The first four stages of King's Knight are individual trials for each of the four characters. They must complete each of their own particular stages in a solo mission. When all four initial stages are complete, those players which survived are granted access to the fifth stage in a party mission. Any player who died in their solo mission will not appear in the fifth stage. Since each player plays a crucial role in the fifth stage, it will be necessary to complete each stage successfully in order to beat the game. As long as you survive with one character, you will be given an opportunity to revisit the stages of failed characters after you perish in the fifth stage.

In each stage except the fifth, all items and power-ups are hidden inside terrain. As each player moves through the stage, they must blast away sections of terrain in order to reveal the contents buried underneath. In some cases, this will not be an item, but rather a monster which will dart out and attack you. You can maintain your position and shoot at them or move out of the way. Each stage contains one dungeon which can only be accessed by revealing the location of the staircase which leads to the dungeon. Each dungeon contains one of the B elements needed for the fifth stage. At the end of each dungeon, you must defeat a large bird-like mini-boss. Elements A, C, and D can all be found above ground, and are marked on the map with a black letter on a yellow dot. The entrance to the dungeon is marked by a yellow B on a black dot.