Max Von Sydow's knight wants to believe, but also wants to be convinced. He's frustrated that God seems stay out of reach, yet never seems to entertain the obvious possibility that He simply does not exist. Succinct, matter-of-fact Atheism is left to the worldly, realistic Squire.
I'll go out on a limb here and say that I am not on the Knight's side. His spiritual suffering seems stuck in the same sort of narcissism as the whiney, insecure violinist in TO JOY. The Knight's suffering is loftier - unlike the violinist, he doesn't whine or torment others with his misery - but no less selfish. His spirituality ultimately reduces to the position that God must exist because he wants Him to exist, a "there must be SOMETHING" theology which I think is very poorly thought out. Shut up, you big baby!
Having said that, I'll now contradict myself by saying that The Knight is as noble and poignant a character as it is possible to find in cinema. It is impossible to doubt his sincerity or his depth of feeling. Max Von Sydow's face is like the living model for an icon painter's Jesus, the eyes focused on something beyond the world, but his expression always reflecting the suffering he sees all around.