If you’ve ever wondered who made the first knock-knock joke, look no farther. The first joke was made by Shakespeare in his play Macbeth and let me tell you, it wasn’t very funny. The joke fell into a 20 line monologue by a character whose only purpose was comic relief. The joke even involved a character off stage actually knocking!
Whether you hate reading Shakespeare or not, you have to give him credit for coming up with the very first knock-knock joke. You might not find it funny, but at least he did it. Here's one of the jokes: "Knock, knock, knock! Who's there, i' th' name of Beelzebub? Here's a farmer that hanged himself on the expectation of plenty. Come in time, have napkins enough about you, here you'll sweat for 't."
Read the explanation of the joke, and more of them at the source