Heathrow Airport: For Knightsbridge, take the Piccadilly line direct to Hyde Park Corner or Knightsbridge: roughly 45–60 minutes and about £6 with contactless/Oyster. It is slower than the Heathrow Express but drops you where you need to be; the Express only gets you expensively to Paddington, still well west of Belgravia.
Gatwick Airport: Take a Southern or Thameslink train to Victoria, about 30–45 minutes and roughly £12–20 depending on ticket and time; Belgravia is walkable from Victoria. Do not reflexively buy Gatwick Express: Southern services use the same Victoria terminus and are usually the better-value choice.
Stansted Airport: For Belgravia, the National Express coach to Victoria is the direct budget option: nominally 50–90 minutes, but road traffic can make it longer; roughly £12–20 booked ahead. If timing matters more than price, take Stansted Express to Liverpool Street, then the Tube to Green Park/Victoria; allow about 70–85 minutes total and around £25-plus.
Luton Airport: Use the Luton DART to Luton Airport Parkway, then Thameslink to St Pancras; from there take the Victoria line south to Victoria or Green Park. Allow 60–80 minutes door to door and roughly £15–25. Coaches to Victoria can be cheaper but are far less predictable in traffic.
London City Airport: Take the DLR, changing for the Underground at Bank or Canning Town, then continue toward Green Park/Victoria; allow about 45–60 minutes and pay the normal contactless fare. It is the closest airport geographically, but not the easiest for this southwest-central location.
London Victoria station: This is the useful mainline arrival point: Belgravia begins just outside the station, while Sloane Square is a short bus or taxi ride and Hyde Park Corner is one stop on the Piccadilly line from Green Park. Victoria also handles trains from Gatwick, Brighton, the south coast and Kent, plus national coaches nearby.
London Waterloo station: From Waterloo, take the Jubilee line to Green Park (about 5 minutes), then walk or change to the Piccadilly line for Hyde Park Corner/Knightsbridge. For a hotel in Belgravia, a black cab is often sensible with luggage; allow 15–30 minutes depending on traffic.
St Pancras International / King's Cross St Pancras: Eurostar and many intercity arrivals land here. Take the Victoria line directly to Victoria or Green Park in roughly 10 minutes, then walk, bus, or make the short Piccadilly-line hop to Hyde Park Corner. This is usually easier than dragging luggage through multiple changes.