He was born the eldest son of Sir Francis Knollys, Treasurer of the Royal Household, and Catherine Carey, Lady of the Bedchamber to Queen Elizabeth I.
[2] Around 1578, he joined Sir Humphrey Gilbert in a venture designed to set up a new colony on the east coast of North America although Henry showed more interest in the more profitable business of privateering in the Spanish Caribbean.
Knollys soon refused to acknowledge Sir Humphrey's authority and, together with the pirate John Callis, took three ships (later joined by more) to the Spanish Coast on a privateering expedition.
The planned voyage across the Atlantic never came to pass and Gilbert complained to Sir Francis Walsingham of Knolly's "unkind and ill dealing".
[2] In 1582, an expedition to Portugal in support of Don Antonio, Prior of Crato, the Royal claimant to the throne, foundered when Henry was ordered to return home.