The world top-ranked player pleased a home audience with her comeback 2-6, 6-3, 6-3 win against Switzerland's Timea Bacinszky after a similar three-set victory Friday.
"She has played well all week already and she has a great future ahead," Henin said about her unheralded opponent. "The most important thing for me is that I reached the final. Antwerp was an important goal for this year's season."
Bacinszky, 17, is ranked 94th.
Henin needed a key service break in the third set to try for her 41st career tournament victory and second this season.
Knapp had not won a match in three tournaments this year before a 6-4, 7-6 (7-5) win against ninth-seeded Na Li of China completed her surprising run.
She will be appearing in her first WTA Tour final Sunday.