The BBC series, starring Cillian Murphy and Helen McCrory, follows the exploits of the Shelby family in the aftermath of the First World War.
In its most recent outing, the show introduced new characters including fascist leader Oswald Mosely (Sam Claflin) and the mobster Aberama Gold (Aidan Gillen).
Following the airing of the series five finale, which saw Aberama brutally killed by one of Mosely's cronies, Knight said he immediately wished he'd played the story out in a different way.
"I should have kept him alive," Knight admitted in a live viewing of the episode organised by Esquire on Sunday (31 May). "I could have just wounded him."
He also said he wished he'd spared the life of Barney Thompson because Cosmo Jarvis, who played him, is "such a good actor".
"[He's] just brilliant and I really wish I’d kept him alive now, Knight said of Jarvis.
Knight also said he found killing characters difficult even if they're villains.
The new series of the show was recently put on hold "indefinitely" because of the coronavirus pandemic, with new cast addition Stephen Graham revealing he was ready to film his scenes when production was shut down.