Knight -- who told Castro at his sentencing hearing Thursday his "hell is just beginning" -- went to see the house at about 10:45 EDT, ABC News reported.
Altagracia Tejeda -- a neighbor who helped Knight, Gina DeJesus and Amanda Berry escape from captivity -- told ABC Knight came straight to her house Friday, posed for a photograph and offered thanks for her help.
The house where Castro imprisoned his victims is under police guard and surrounded by cyclone fence, and its windows are boarded up, ABC said.
A police officer escorted Knight as she went inside.
Plans call for the structure to be demolished.
In court Thursday, when Castro was sentenced to life in prison without parole, plus 1,000 years, Knight told him: "You took 11 years of my life away and I have got it back. As for the 11 years in hell, now your hell is just beginning."
Knight was the first of the three women Castro imprisoned, when he abducted her in 2002. She became pregnant by him numerous times and was made to miscarry when he deprived her of nutrition.