Do Knuckles and Amy love each other?

No, but in the episode of Sonic X: Cracking Knuckles, it showed that he had a bit of a crush on Amy when Knuckles was trying to go away and leave them alone after settling with Eggman, but Knuckles doesn't really have that much of feelings for Amy since in the comics he has a girlfriend (and soon wife) Julie-su, partner in games Shade, and for fans Tikal, and of course Amy loves Sonic which is very obvious, and Amy has more feelings for Sonic than anyone and anything in the world