I had the same problem with my muzzleloader when I bought it. I' m not sure about the Knights, but on my Austin & Hallek, I noticed the primer was suppose to be held secure by a metal retaining ring. I simply took a pair of pliers and crimped the ring a small amount so it would hold primers in place--it has worked flawlessly since then. If your not comfortable with doing something like this; or, if your gun is different, I' m sure a gunsmith could help you. Otherwise you might see if customer service at Knight can give you some advice. Hope this helps!