Holy Knight is a series of books that Oz, Elliot and Leo are all fans of. Oz had been reading the children's version of the series to Ada, though Caucus Race 2 reveals she did not follow the series after Oz was sent to the Abyss. It is an ongoing series with 21 Volumes as of Pandora Hearts 6. Elliot had read up to Volume 18, Oz had read up to at least Volume 9 and Leo has read to at least Volume 19. The story of the characters Edwin and Edgar can be compared to the relationship between Oz and Gil; Edwin being the master and Edgar being the valet. Elliot, who criticized Edgar's act of self-sacrifice, later did the same when he rejected Humpty Dumpty as his chain.
- Edwin - The cheerful yet serious hero of the Holy Knight series. He is a genius at sword-fighting and wasn't as popular as Edgar was with readers, that is until after Edgar's death when Edwin cut his hair, mostly because he is said to look more like Edgar with his hair cut. Edwin is the fourth son of a Viscount who forces his way up in the world with his valet, Edgar.
- Edgar - Edwin's valet. Edgar seems to be the most popular character of the series. He is quiet, and appears to be quite handsome, though he is oblivious to the fact that so many of the female characters of the series adore him. Edgar was killed in the middle of volume 16, laying down his own life to save Edwin's. He prayed for their happiness before he died, but tore their hearts to pieces because of that. Elliot is disgusted by him.
- Zekred - A character who Edgar mentioned as simply "The Traitor" in Volume 9. Oz suspected that it was Zekred that Edgar was talking about and this was later proven to be true. Zekred had apparently been working for Count Gorey. Zekred was also said to have lost a letter from Edwin in Volume 8 as an act of foreshadowing.
- Juliet - A female character in the Holy Knight series. After Zekred was revealed to be a traitor, Elliot suspected that Juliet was evil as well, though she later saved Edwin from a major crisis in Volume 18. It is unknown whether or not she died doing this.
- Phelia - A female character in the Holy Knight series. She dies in Volume 19 in order to save Edwin's life after he had been wrongfully accused of a crime.
- Count Gorey - An antagonist of the Holy Knight series, thought to be the main antagonist of the series until Volume 19, when the real main antagonist killed Count Gorey.
- Marquis Klein - The real main antagonist of the Holy Knight series. Marquis Klein killed Count Gorey in Volume 19 and also reveals that he is somehow Edwin's twin brother, who had been separated from him at birth.
- Josephine - A female character that Leo mentions to have been in trouble in the Volume he was reading when Elliot and Oz were fighting about the series. It can be assumed that this was in Volume 19 as Leo had apparently read volume 19 before Elliot.
- Jackie - A character that Leo mentions being "the culprit" after revealing that Josephine was in trouble when Elliot and Oz were fighting about the series. It is assumed that this takes place in Volume 19 as Leo had read it before Elliot could get the chance.