I'm getting my sources seriously messed up here so bear with me. I'm sort of getting the message here that they were originally trained by Luke and later corrupted or wiped out but the other half of people are saying that they were formed by Snoke as soon as Ben turned to the dark side.
The group of Force sensitives that Luke was training were not the Knights of Ren. They were intended to become a new generation of Jedi.
We don't know anything at all about the Knights of Ren, other than the fact that Kylo is one of them and was called "Master of the Knights of Ren" by Snoke. They seemed to be a group of Dark Side Force users, but otherwise, we don't know where they came from, how Kylo found them, or if Snoke is a part of that group or not.
What we know: Knights of Ren are NOT Sith. They don't follow the rule of two created by Darth Bane.
We know, some canon, some not, that there are many Force users besides Siths and Jedis.
There's Dark Jedis, Witches of Dathomir, Sith pure race, etc.
We know that, or they are to naive, or they're not so greedy as the Sith so they don't need the role ot two. Maybe they even WERE HIDEN from the Sith!!!
My theory, sorry to not append some material here, but everything is so fresh and new, my theory is that knights of Ren were CREATED BY VADER!!!
We know from canon that Darth Vader wanted to kill Darth Sidius, and called Luke to enjoy it. (Episode VI).
Maybe Vader trained in secret Snoke willing to kill Sidius and set up his own empire.
This would add A LOT to Kylo Ren's motivation!!! Knowing that here's in a institution created by his grand father.
As we know from Episode VII, Kylo fears he will not be as great as Vader, and we know that he wants to resume what Vader started. A new order...