The Little Knights were minor characters that only appearing in the Oswald the Lucky Rabbit Cartoon, Oh What a Knight and are minions of Knight Pete (a form of the earlier version of Pete). They never appeared after this cartoon and they became eventually became forgotten and sent to Wasteland.
In Epic Mickey
The Little Knights appear in the Projector Screen level of Oh What a Knight. They appear as enemies and will hurt Mickey if he touches their swords. Their armor also appears around Dark Beauty Castle, where they are interactable objects as a throwback to their first appearance.