The Death Knight is first introduced in Chapter 4, in which the player travels to the Holy Masoleum to suprise attack a group of enemies (whom they expect are using a letter that states the assassination of Lady Rhea to sneak into the Holy Masoleum. Located in the Masoleum is a group of Mysterious Soldiers and the Death Knight.
During the mission he refuses to attack the player, stating that they are weak and he does "not waste his time on weaklings". Any attempt to attack him will lead the Death Knight to become hostile towards the player.
When the player completes the mission, the Death Knight will vanish and the mission will end.
The next time we encounter The Death Knight is in Chapter 7, where he kidnaps Flayn in order to gain her blood. Over the month, you must track down the kidnapper by talking with the people in the Monastery. Eventually the player is led to Jeritza's room, in which Manuela has been injured and a pathway is revealed. The player then sees Flayn unconcious and then must fight The Death Knight.
We also see him briefly in Chapter 8, although fighting him is entirely optional.
Except from these, we see him in multiple chapters in all Four Routes.
With your first confrontation with the Death Knight, he is monumentally difficult to defeat, but he is not invincible. He can approach you from close range and long range, which makes any unit that goes up against him susceptible to his powerful attacks no matter the range. Characters such as Lysithea and Hubert (who learn the anti-cavalry Dark Spikes spell) and weapons that are effective against Cavalry are immensely beneficial during your fight with the Death Knight, as he is classified as a Cavalry unit. Except from this, Gambits are useful against the Death Knight as it does not give him the oppurtunity to attack. You can always sacrifice units to defeat them, however this strategy is not incredibly useful in the long run, especially on Classic Mode. Fights from this point on with the Death Knight become easier as time goes on, as your units have more time to level up and learn new Combat Arts/Abilities. After Part 2, he does start to level up himself, however he is still a lot easier then your first encounter with him.
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