The big defender's tap-in in first-half injury time was Wanderers' first goal in more than nine hours of Premier League football.
Wolves twice rattled the woodwork in the second half as they searched for an equaliser, but Bolton held on for their first league win in six games and only their second under Coyle.
The Trotters manager made six changes to the side which crashed out of the FA Cup against Tottenham in midweek.
And one of those, Johan Elmander, wasted the game's first chance when he shot tamely at Marcus Hahnemann from the edge of the area after a slick Wanderers move.
The Swedish striker forced Hahnemann into action again with a snapshot before wasting an even better chance on the half-hour mark.
Hahnemann saved bravely at Kevin Davies' feet after he pounced on Christophe Berra's mistake, but Elmander should have buried the rebound, only for his effort to be cleared off the line by Jody Craddock.
After saving a certain goal the Wolves defender then saw his header from Dave Jones' corner hit Fabrice Muamba on the goal-line.
And, in first-half injury time, Wanderers took the lead. Chung-Yong Lee retrieved Stuart Holden's corner and, after beating Jones on the byline, squared for Knight to slot home from close range.
Wanderers should have been awarded a penalty seconds after the restart when Ronald Zubar clearly handled in the area.
And Davies wasted another golden opportunity moments later after Muamba had sent him through on goal.
Wolves came within inches of equalising on 59 minutes when Jones' curling free-kick hit the inside of the post with Jussi Jaaskelainen well beaten.
Sam Ricketts then produced a goal-saving challenge to deflect Matt Jarvis' shot over the bar after the Wolves winger burst into the area.
And the visitors must have known their luck was out when Kevin Foley's dipping volley crashed against the upright soon after.