The British actress stars opposite Chris Pine in the action movie, based on novelist Tom Clancy's CIA agent hero and directed by Sir Kenneth Branagh.
Knightley's recent film roles have included the lead in Anna Karenina, who commits suicide over a broken heart, Russian psychoanalyst Sabina Spielrein, who was murdered by Nazis, in A Dangerous Method, and in Never Let Me Go she played a clone created for the purpose of having her organs harvested.
Knightley revealed at a press conference in London: "I think when I finished doing Anna Karenina I realised that I'd been playing characters that pretty much died or something horrendous happened to them for about the last five years and I fancied doing something fun."
She added: "I've never done a thriller before, and it's been a genre that I've really liked. It's a difficult one because you combine action with proper storytelling and it needs a proper storyteller to do it, so I was excited by the challenge."
Shadow Recruit is an origins film of the Jack Ryan character, and sees him recruited into the CIA just as he begins a relationship with his physiotherapist, Cathy Muller, played by Knightley.
The Oscar-nominated actress said she was interested in the film's exploration of how a secret agent might balance a relationship with a life of espionage.
She said: "As far as the relationship between Jack and Cathy goes I was interested with the idea of what happens to a relationship when there is a secret, when there is something that can't be discussed, something that can tear two people apart even though they are completely in love.
"I thought that was a very interesting part of the story, as far as what people who work in secret services have to give up and the emotional toll that it takes on them."
Jack Ryan: Shadow Recruit, which also stars Kevin Costner, is released in cinemas on Friday.