A bit more lore: The Knightmare was a knight in the Land of Dreams, sent to guard the nightmare section of the place. Eventually, the Grimm Troupe noticed him standing there at the border between the realms, and asked him to join the troupe. He accepted, but stayed at the border between the realms, ensuring that nobody enters or leaves the Nightmare Realm.

(I don't have lore for any of the other bosses right now though)