The Metropolitan Police confirmed in December that it was carrying out an investigation into the then-Conservative MP, who had the party whip withdrawn after the inquiry was launched.
The force said in March that its investigation was over and it is not clear why the case was referred onwards.
The Tories refused to restore the whip to Mr Knight after the Met dropped the case, with the party saying at the time that it had received "further complaints".
Mr Knight has denied what he described as a "false and malicious accusation".
On Tuesday, a statement from Essex Police said: "We have agreed to take on an investigation which has been referred to us from the Metropolitan Police Service.
"We are investigating an allegation of serious sexual assault.
"Detectives who specialise in cases of this kind will gather evidence and conduct a thorough investigation."
Detective Chief Superintendent Andy Waldie will oversee the work carried out by a senior investigating officer with "extensive experience".
"In the interests of justice and of all concerned, we have asked media outlets and others not to enter into any speculative comment or reporting on this matter," Essex added.
"We would also remind everyone that victims of sexual offences are entitled to life-long anonymity, regardless of how a case proceeds.
"The Essex Police investigation remains at an early stage."
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