McKnight scored a career-high 23 points to lead the Boilermakers to a 76-65 triumph over undermanned Baylor.
On Tuesday, Purdue (10-3) blew a six-point lead with 10 seconds remaining at Colorado State and lost on a buzzer-beating 3-pointer, 71-69.
In this one, Purdue closed the first half on a 13-4 run to open up a 39-24 advantage at the break. The Boilermakers' cushion reached 22 points early in the second half before the Bears made a late charge, pulling within 72-65 in the final minute.
Matt Kiefer scored 13 points on 6-of-7 shooting and reserve Brett Buscher added 12 on 4-of-6 for the Boilermakers, who connected on 52 percent of their attempts (26-of-50). The Bears were limited to 42 percent (22-of-53).
Harvey Thomas had 20 points to place Baylor (5-7), which was missing leading scorer and rebounder Terrance Thomas and frontcourt mate R.T. Guinn, who were ruled academically ineligible.
The Bears had just five scholarship players available and coach Scott Drew used four players - Harvey Thomas, Tommy Swanson, Corey Herring and Matt Sayman - 36 minutes apiece.
Swanson added 16 points and eight rebounds and Sayman chipped in 10 and eight.