Hell Knights first appear as a sub-boss found on the 146th floor of Tartarus in a group of three. They impede the player's progress and must be beaten to proceed. It later reappears as a normal enemy in the Harabah Block of Tartarus, between floors 181 to 189. This normal variant may potentially surprise the party with Infuriate, as the skill does not appear on their scan screen.
Due to the diverse moveset and somewhat high levels of the bosses, grinding may be necessary. Using Personas that are not weak to Electricity and Darkness (for both the protagonist and your allies) are very helpful, and maintaining some extra Dis-Poisons wouldn't hurt. It is possible to inflict Charm onto them, which can make this battle much smoother.
Hell Knights may later be found again within the first section of Antenora in the Abyss of Time. In addition to using Mudo and Mamudo, they may summon a Killing Hand to aid them in battle. If a party member is afflicted with Fear from the Hell Knight's Evil Touch, the Killing Hand will use Ghastly Wail to finish them off if given the opportunity.
Hell Knights appear in B7F and B8F of the Secret Laboratory within the Midnight Channel. They will alternate between using Mudoon and Power Charge boosted Heat Wave. After being defeated, they may drop the Black Reins material. Selling 4 Black Reins will unlock the Hurricane Coat male armor for sale at the shop.
In Golden, it appears in the same floors above. It may also drop Meteorite for trade at Shiroku Pub.