Upon her father's death in 1775, Knight and her mother were left with only a small income and no pension, inducing them to leave for the Continent in 1776, where they settled in Italy. In 1790, Cornelia anonymously published "Dinarbas", a continuation of Johnson's "Rasselas" in which Rasselas becomes ruler of Abyssinia, marries, and finds happiness. Following its success, she published "Marcus Flaminius" in 1792, a historical epistolary novel. The Knights were living in Naples in 1798 when word came of Nelson's victory at the Battle of the Nile. They participated in the ecstatic celebrations of that victory when Nelson arrived in Naples, and became good friends of the Hamiltons and Lord Nelson.