But County had to come from behind after Glynn Hurst had given the Shakers a second half lead before Jason Taylor and Pilkington secured a sixth win out of seven league games for Jim Gannon's side.
Knill had only taken over at Gigg Lane on Monday and was immediately faced with a derby against in-form Stockport.
The contrast between the two sides going into last night's game couldn't have been starker. Bury were without a win in the league since November while County had taken 16 points out of their previous six games and were unbeaten in the league in 2008.
The home crowd, who had witnessed Saturday's 5-1 demolition of their side by MK Dons, must have feared a repetition of that hammering when Pilkington gave the visitors the lead in the just seventh minute.
Gary Dicker's clever reverse pass in the middle of the pitch set free Pilkington, who took the ball on before firing an unstoppable shot from 25-yards high past Bury keeper Jim Provepp.
But instead of letting their heads drop the home side reacted positively. It took a vital interception by Ashley Williams to deny former Stockport striker Hurst before Bury got their reward in the 14th minute. Jack Dorney whipped in a cross from the left that was directed past keeper Conrad Logan by Andy Bishop.
The same combination almost worked a second Bury goal when Dorney, this time from the right, found Bishop in front of goal but Logan reacted to his flick to turn the ball around the post.
Three minutes into the second half Stockport failed to clear the ball after Bishop took it into their penalty area and while the striker couldn't wriggly of the defenders the ball fell to Hurst who clipped the ball over Logan.
But the Bury lead only lasted three minutes with Taylor making space for himself before picking his spot from 20-yards with a low left-footed drive into the corner of the net.
Pilkington grabbed his second after a mix up in the Bury defence with Provepp unwilling to pick up a back pass and the striker stabbing the ball in from close range.
Provepp denied Pilkington his hat-trick with a smart save and both sides created late chances.
Meanwhile, Kevin Ellison's proposed loan move to Stockport is in doubt according to Chester. The 28-year-old winger was due to return for a second spell at Edgeley Park, initially on loan with a view to a summer permanent move.
A Chester spokesman said: "The deal that would have seen winger Kevin Ellison move to Stockport County on loan for the remainder of the season is now in question due to objections raised by the player."
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