I'm going to assume that this question is only asking about England.
In British chivalry, it's important to distinguish between the different orders. These are:
Order of the British Empire: Founded in 1917, this is open to all citizens, and was designed to make knighthood more egalitarian. As expected, this is where most football managers (and pop stars) end up getting knighted.
Order of the Bath: Founded in 1725, this is limited to military officers (and some officials).
Order of St. Michael & St. George: Founded in 1818, this is limited to diplomats (and some officials).
Order of the Star of India: Founded in 1861, this is limited to British officials governing India. There hasn't been a knighthood granted here since 1948, and they eventually died out. I believe the last knight in this order died in 2009.
Royal Victorian Order, Founded in 1896, this requires personal service to the Royal Family.
On a broader note, the definition of "knighthood" has evolved continuously throughout British history, and it seems likely to continue to change into the future.
[edit: fixed a few typos]
The first British footballer to receive a knighthood was John Charles Clegg, who was knighted in 1927. However, it seems that his knighthood was "for services to the Board of Trade".
The first British footballer to be knighted for services to football was Stanley Matthews in 1965.