The Shakers were superb in the first-half with wingers Elliott Bennett and Mike Jones giving the home full-backs a torrid time.
But Exeter had plenty of chances of their own after the restart so Knill was pleased to come away with a point after a run of three straight away defeats over the festive period.
"We played really well," he said. "We came out of the traps really sharp, moved the ball round well and should have been home and dry at half-time.
"We had to be mentally strong in the second-half to grind out a result so I'm delighted because, in my opinion, we've been a soft touch in the last three games away from home."
Top scorer Andy Bishop might have given Bury a second-minute lead after being played in by Andy Morrell but home keeper Paul Jones turned his effort wide.
Bishop was denied again by Jones in the first half and Morrell had a goal disallowed for offside while Jones spurned a great chance as he fired over from Bennett's cross.
Bury's Mark Tyler was called into action on the stroke of half-time to tip over a shot by Manny Panther and the on-loan keeper also had to deny Adam Stansfield and Danny Seaborne in the second-half.
Bury might have secured all three points with Morrell lobbing over and Rob Edwards denying Bishop a winner following Jones' through-ball, but the Shakers remain in the play-off places regardless.
"Our wingers were, at times, unplayable and their delivery caused Exeter lots of problems," Knill added.
"Somebody said to me that Exeter played poorly but I think we were just better. We're a good side, and we have been all season, and we have now kept two clean sheets in a row."
BURY: Tyler 8, Scott 7, Futcher 7, Cresswell 7, Buchanan 8, Bennett 8, Dawson 8, Barry- Murphy 8, Jones 8, Morrell 7, Bishop 7. Not used: Belford, Haslam, Baker, Racchi, Rouse.
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