For the most part the story of both the manga and the serializations is the same, with only the second serialization (known as Twin Knight) and to some extent the fourth serialization being significantly different.
Taking place in a medieval fairy-tale setting, Princess Knight is the story of young Princess Sapphire who must pretend to be a male prince so she can inherit the throne (as women are not eligible to do so). This deception begins as soon as she is born, as her father the King announces his baby is a boy instead of a girl. The reason for this is that the next-in-line to the throne, Duke Duralumon, is an evil man who would repress the people if he were to become king, and because of this the King will go to any length to prevent him from taking over.
Princess Sapphire has a pint-sized sidekick in the form of Choppy, a young angel-in-training out to earn his wings. When she was born, Choppy accidentally gave Sapphire the blue heart of a rambunctious boy as well as the pink heart of a prim and proper girl, and so God sent him down to Earth to sort out the mess and retrieve Sapphire's extra heart. Choppy is stuck inside a rather weak mortal shell, and cannot go back to Heaven until he's fixed things. Sapphire won't let Choppy remove her blue boy's heart, however. As a result, Choppy is pretty much stuck with Sapphire (although he doesn't really mind).
Sapphire and Choppy experience a variety of fairy tale and political adventures, including encounters with ice witches and anti-Royal revolutionaries. Sapphire also dons a Zorro-style mask at night and fights crime as the Phantom Knight, as well as foiling Duke Duralumon's schemes to take over the kingdom and his attempts to prove that Sapphire is really a girl (and thus discredit her as the heir to the throne).
The bright and colorful animation style of Princess Knight is comparable to that of Disney, à la Snow White and the Seven Dwarfs. Some mature themes also crop up occasionally. There are several references to God, Satan, Heaven, and Hell. Also, in the final episodes, the story arc is resolved and many major characters are killed on screen (although the main principals make it out okay in the end).