Certainly there have been female knights! The most famous was Joan of Arc.
Joan of Arc famously led Charles VII to coronation at Reims in 1429. And she did so clad in armor and seated upon a male warhorse. But that isn’t the only example – women often dressed as men in order to participate in war back then, when they were banned from full participation on account of their sex. You can learn more about these ladies by reading Erika Rummel’s From Joan of Arc to Female Warriors.