No, we(readers) actually know some things about the Skull Knight.
The first thing, he is a human, a branded one, the same as Gutts and Caska.
His armor was blessed by the fairy king (probably ;P, the armor certainly posses fairy powers, as Puk said) and his time was frozen probably by the witch (the same as her own was).
He once wore the berserk armor.
In the past, he might have been that great king who loved his skull helmet (somehow, I have a feeling that the warrior in the skull helmet (later known as Skull knight) and the king weren't the same person).
He was branded (probably) by the Void (the brain godhand, who was once a magician, or the skull king himself, it's a guess). His relationship with Zod is still not known well(beside that they fought many time and that Zod consider him a worthy oponent(and probably is a reason why he still fights humans, to find one as strong as he (with is Gutts ;P)), he might have met him after being branded, before, or Zod was the one who branded the Skull Knight (with I doubt).