Knight made five free throws in the final 41 seconds as Kentucky (23-8), which never trailed, held off Ole Miss. The Rebels trailed 68-66 following Chris Warren's 3-pointer with 1:45 remaining, but didn't score again.
Warren had 20 points for Mississippi (20-13) but shot only 5 of 20 from the field.
Darius Miller had 15 points and Josh Harrellson 13 for Kentucky, which will play Alabama in Saturday's first semifinal.
Terrance Henry had 17 points and 12 rebounds and Dundrecous Nelson added 14 points for Ole Miss, which likely awaits a spot in the NIT.
Lamb, one of three freshmen starters, helped Kentucky continue an old tradition of SEC tournament success in Atlanta and against Ole Miss. Kentucky is 15-0 in the tournament against the Rebels.
The Wildcats improved to 20-7 in tournament games in Atlanta. They've won five tournaments in "Cat-lanta," most recently in 2004.
Kentucky blue was the dominant color in the Georgia Dome crowd of 21,875, even for Friday's first game between home-state Georgia and Alabama.
Most teams' fans settle at the tournament in one corner or section. Kentucky is different. Wildcats fans claimed every section in every direction as their own as if Rupp Arena had been hauled down Interstate 75 from Lexington.
One of the biggest cheers of the opening game came when Kentucky's fans rose to greet the Wildcats' cheerleaders as they walked into the facility.
The lopsided advantage in the stands didn't make for a runaway on the court.
Kentucky appeared to be on the verge of pulling away when a basket by DeAndre Liggins gave the Wildcats a 51-39 lead about 5 minutes into the second half.
The Rebels answered with a 9-0 run, capped by a steal and basket by Nelson to cut it to 51-48. Nelson's 3-pointer a minute later brought the Rebels within 53-51.
Kentucky recovered to lead 64-56 on a jam by Terrence Jones, but the Rebels pulled back to within 66-63 with 3:10 remaining on Reginald Buckner's basket.
Ole Miss was trying to beat Kentucky for the second time this season. Warren's 3-pointer with 2.9 seconds remaining lifted the Rebels to a 71-69 victory over then-No. 10 Kentucky on Feb. 1.
The bearded Warren struggled in the first half. His only field goal on seven tries was a 3 with 1:30 remaining.
Henry made each of his two 3-pointers for the Rebels in the half. The rest of the team went 2 of 11.
Lamb matched his season average by scoring 13 points in the first half, including two early 3-pointers.
Jones, the freshman who averages 17.1 points and an SEC-leading 9.2 rebounds, left the game for only a couple of minutes after he was called for his fourth foul with 10:53 remaining. He had seven points and seven rebounds.