But the 6'4" former Gigg Lane defender says he's up for the task.
Knill, 43, takes charge of the Shakers for the first time tonight when they host Stockport.
And while Bury can't fall into the League Two relegation places, that could follow this weekend if results go against them.
Knill, who succeeds Chris Casper after the brief care- takership of Chris Brass and Chris Hutchings, said: "It had to be the right job for me to leave Chesterfield. It took a lot for me to leave and I know it's going to be tough.
"You don't get jobs when it's easy - only Avram Grant at Chelsea manages that.
"But I wouldn't have come if I didn't think I could make a difference.
"I have watched the team recently but I don't know the players personally.
"I am new to them and they are new to me and I think that can be a good thing."
Bury's board has made no secret of their demands on the 35th manager in the club's history.
"We expect league survival," said director Ian Harrop.
"We are fed up of being top of the bottom four. We want to be ambitious, we need to be ambitious.
"We don't expect Alan to turn it around overnight into a promotion winning team, but we do expect progress.
"We want to be competing at the top end of the table rather than what we have been doing for the past three years.
"We know people are frustrated, but I just ask now that everyone gets 100 percent behind the new manager and the team."
Paul Simpson, Neil McDonald and Steve McMahon were among the names mentioned as possible successors to Casper and Director of Football Keith Alexander.
"The one thing we can say about Alan is that he is ambitious and he wanted desperately to be a manager again.
"We talked to a lot of people and they all talk a very good game, they are all professional people.
"Some of the people that we approached were maybe a little bit out of our league."
Do you think Knill will save Bury from the drop? Have your say.
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billy shears, japan (05/02/2008 at 10:59)