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Knox was the eldest son in a family connected to the Protestant Irish peerage: his father John Henry Knox, Tory MP for Newry, was a younger son of Thomas Knox, 1st Earl of Ranfurly.
Knox-Shaw also served as a member of the Board of Finance of the Diocese of Ely, was a trustee of the Cambridge Mission to Delhi and a very active member on the committee of the Universities' Mission to Central Africa.