Denny was born in Pittsburgh, Pennsylvania. He was the son of Robert McKnight, a Republican congressional legislator representing Pennsylvania\'s 22nd congressional district. His brother Woodruff, was an early baseball catcher for the Enterprise Base Ball Club in Pittsburgh. Denny graduated from Lafayette College in 1869. He then became director of an iron manufacturing company in 1876.\n', '

McKnight\'s career in baseball began in 1876, when he and several local organizers formed the Allegheny Base Ball Club. The founding occurred just twenty days after Pittsburgh lost its bid to join the newly-formed National League. The club was named Pittsburgh Allegheny, a minor league baseball club which is unaffiliated with the modern day Pittsburgh Pirates. The team played their first game at Union Park on April 15, 1876, defeating the Xanthas 7-3, at Union Park.\n', '

In 1877, McKnight was named the manager of the Pittsburgh Allegheny as the club became one of the first minor league baseball clubs as member of the International Association for Professional Base Ball Players. He also later served as the International Association\'s president after Candy Cummings resigned from the post. The team and the league would however fold in 1878.\n', '

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