That meant they had to take part in the dance duel, with the judges eliminating one of them.
Roshon won the judges' vote 2 to 1, so Knight called it a day.
Knight and her partner, Tristan McManus, performed a joyful Jive in the dance duel. She won the judges' hearts, just not their votes, becoming the fifth celebrity of the season to be eliminated.
"It's a miracle, and we experience those every single day if we know how to recognize them as such," Knight said. "It's definitely a miracle."
"I got a chance to experience the dance world, the competition of it and that kind of stuff," she added. "I don't have as much of that in my personal environment because I control that."
The Empress of Soul began her dancing journey with the Cha Cha, she learned to Quickstep for week two, then it was on to the Foxtrot, Tango, Samba and finally, the Rumba.
While McManus taught Knight how to dance, Knight taught McManus some essential steps of show business.
"Be good to people - and that's everybody who's here, not just the people you're sharing the stage with for a certain amount of time," McManus said. "Everyone who helps - who brings you your shoes. Everyone who says hello to you in the morning time."
Knight says she'll miss the people she shared the dance floor with.
"In giving this up, it's a lot I'm going to miss," she said. "But I'll miss Tristan the most."
Boyz II Men returned to the ballroom to perform their latest single, "One More Dance," off their 20th anniversary album, "Twenty." Natasha Bedingfield also performed on the show.