Knights in the Nighmare (ナイツ・イン・ザ・ナイトメア Naitsu in za Naitomea ) is the fourth Episode in the Dept. Heaven series and the third to be released. The DS version was released on September 25, 2008 (JP) and June 2, 2009 (NA). The PSP version was released on April 22, 2010 (JP) and November 9, 2010 (NA).
The story in Knights is told in both a forward and reverse fashion, with the revelation of past events - what happened at the Aventheim Castle is being used to decide and explain the events of the present. The plot follows the player's wisp and a Valkyrie, the former of whom recruits fallen knights as allies to battle against monsters. These allies' pre-death stories are shown as glimpses of the Before Crisis events.