The Knights are a collection of magically-animated suits of armor, capable of walking and moving like people. They largely consist of Middle Age-era English knights, but also include Elizabethan guardsmen, Cavaliers, Redcoats, Highlanders, and even executioners.
Being completely hollow and not truly alive, the Knights are impervious to most damage, including bullets- in more than one instance, the Nazis fire several machine gun rounds into the knights. Though they create several dents and holes in their armor, the knights don't even flinch, stopping only to pull off parts of their body and shake out the bullets rattling around inside them.
In hand-to-hand combat, the knights are found to be capable of detaching and moving their individual parts independently, with fists and boots swinging on their own.
Despite having no mouths, they are also able to speak- during their march, the knights chant the Substitutiary Locomotion spell, as well as playing horns and bagpipes.