Canada had led 3-2 heading into the third period and were on course for a third successive world title but threw it away with sloppy play, taking two late penalties to gift the U.S. a two-player advantage with 3:52 left.
Knight made them pay dearly for their mistakes.
After Caroline Harvey had pulled the U.S. level at 3-3 early in the third, captain Knight scored twice to complete her hat-trick having also netted in the second period.
Cayla Barnes scored into an empty net to close out the scoring while Abbey Murphy also had a goal.
Brianne Jenner had a hand in all three Canada goals, scoring twice in the second-period and setting up Marie-Philip Poulin for another, but it was her tripping penalty, along with Claire Thompson’s delay of game, that provided the U.S. with their golden opportunity.
“It takes a whole village for one player to be successful on the ice,” said Knight, the U.S. all-time leading scorer at the world championships with 101 points. “It’s a huge honour to lead this team but the day-to-day business hasn’t changed.
“It’s hard to beat Canada. It’s harder to beat Canada in Canada.”
It was another dramatic end to one of the greatest rivalries in sport and, as usual, was played at a frenetic pace from the opening face-off to the final buzzer.
No country other than the U.S. or Canada have won world championship or Olympic gold.
Only once have the Canadians and Americans not played each other for the world title, hosts Finland crashing the party in 2019 and taking silver.
In the seven Olympic women’s finals, Canada have won gold five times with the other two titles going to the Americans.
The championships got off to an ugly start with Finland hammering France 14-1 in the tournament opener and there were plenty of other lopsided scorelines, including the United States’ 9-1 rout of the Czech Republic in the semi-final.
Sweden took their quarter-final with Canada into overtime before falling to the hosts 3-2 but it was business as usual otherwise. The Czechs beat Switzerland 3-2 to win a second consecutive bronze.
“There has been great improvement in the women’s game,” said International Ice Hockey Federation President Luc Tardif prior to the final. “You see here the number of close games.
“Maybe teams aren’t ready to beat Canada and the U.S. yet, but it’s getting there.
“It won’t happen overnight. It takes some time. But it’s getting better and better.”
(Reporting by Steve Keating in Brampton; Editing by Peter Rutherford)