McLaren and Van der Wath combined to dismiss the first four Warriors batsmen for only two runs -- a position from which the defending champions never recovered as they were rolled for 71 in 24.4 overs.
It was the Warriors' lowest-ever total in the competition -- now in its second season -- eclipsing the 127 they managed against the Titans in Centurion in 2008-09.
Ashwell Prince put up a lone stance on a difficult pitch in scoring 27 but could only watch as one team-mate after the other lost their wickets.
Van der Wath finished with impressive figures of three for 15 while McLaren was equally good with three for 19.
Earlier, the Knights won the toss and opted to bat under grey skies.
Makhaya Ntini, who announced his retirement from international cricket this week, was superb with the ball.
Ntini bowled with controlled aggression and exploited the conditions well while delivering his allotted eight overs without change.
He dismissed three of the Knights top-order batsmen, reducing the visitors to 52 for four in the ninth over, and finished with tfigures of three for 26.
Ryan Bailey was the mainstay of the Knights' innings, making 64 off 82 balls including four fours and a six.
Dean Elgar chipped in with 32 in a partnership of 65 for the fifth wicket with Bailey.
All-rounder Ryan McLaren smashed an unbeaten 40 off 32 balls in the closing overs to propel the Knights to 199 for eight.
Left-arm spinner Nicky Boje claimed two for 42 in his eight overs.
Scoreboard:
Toss: Knights
M van Wyk c A Jacobs b Walters 13
J van Wyk c Boucher b Ntini 10
A Swanepoel c A Jacobs b Ntini 9
R Rossouw c Boucher b Ntini 15
R Bailey c JJ Smuts b Birch 64
D Elgar st Boucher Boje 32
R Hendricks c Boucher b Boje 3
R McLaren not out 40
J van der Wath c Boucher b Walters 1
O Pienaar not out 5
Extras (lb 3, w 4) 7
Total (for 8 wkts) 199 -- 40 overs
Fall of wickets: 1/23, 2/25, 3/45, 4/52, 5/117, 6/129, 7/177, 8/187
Bowling: Ntini 8-1-26-3, Walters 7-0-40-2 (1w), Birch 8-0-36 1 (1nb, 1w), Boje 8-0-42-2 (1w), Kreusch 6-0-30-0, Smuts 3-0-22-0
Warriors innings
A Jacobs c M van Wyk b McLaren 1
JJ Smuts c Rossouw b Van der Wath 0
K Smuts c Rossouw b Van der Wath 0
A Prince c Bailey b Pienaar 27
J Kreusch c M van Wyk b McLaren 0
D Jacobs c Rossouw b Van der Wath 12
M Boucher b McLaren 7
C Thyssen c Bailey b Coetzee 9
N Boje c Van Schalkwyk b Coetzee 2
L Meyer not out 3
A Birch b Pienaar 0
Extras (lb 2, w 8) 10
Total (all out) 71 - 24.4 overs
Fall of wickets: 1/2, 2/2, 3/2, 4/2, 5/18, 6/31, 7/53, 8/57, 9/71
Bowling: Van der Wath 6-0-15-3 (2w), McLaren 6-1-19-3 (3w), Du Preez 4-0-11-2 (1w), Coetzee 2.4-0-7-2
Knights win by 128 runs