Knights in the Nightmare (ナイツ・イン・ザ・ナイトメア Naitsu in za Naitomea ) is the fourth Episode in the Dept. Heaven series and the third to be released. The DS version was released on September 25, 2008 (JP) and June 2, 2009 (NA). The PSP version was released on April 22, 2010 (JP) and November 9, 2010 (NA).
A remaster for Switch, Android and iOS was announced in Japan in June 2021. 
See also: Knights in the Nightmare/Timeline
The story in Knights is told in both a forward and reverse fashion, with the revelation of past events - what happened at the Aventheim Castle is being used to decide and explain the events of the present. The plot follows the player's wisp and a Valkyrie, the former of whom recruits fallen knights as allies to battle against monsters. These allies' pre-death stories are shown as glimpses of the Before Crisis events.
- See also: Knights in the Nightmare Symphony of Souls
- See also: Knights in the Nightmare ORIGINAL SOUNDTRACK
Mobile spin-off apps
As a part of promotion campaign, four mobile applications themed around Knights in the Nightmare were released. They remained exclusive to Japan.
- ナイツ・イン・ザ・リゲインス (Knights in the Regains Naitsu in za rigeinsu )
- ナイツ・イン・ザ・クレーンゲーム (Knights in the Crane Game Naitsu in za kurēn gēmu )
- リドルズ・イン・ザ・ナイトメア (Riddles in the Nightmare Ridoruzu in za Naitomea )
- ナイツ・イン・ザ・エンカウント (Knights in the Encount Naitsu in za Enkaunto )