Finish getting all the collect cards before going into outer space. Once you leave for space, you cannot go back.
To easily defeat the Blue Knight in his first form, lock on to him and use the spin attack. When he puts up his shield, stop and then start again. You will catch up to him, and start attacking again. When his life becomes empty, he will get off of his horse. To beat him off his horse, lock onto him and punch him three times in succession then immediately unlock your aim and move away before he starts swinging his sword. Then, repeat. When he hides his sword, lock onto him from a good distance and shoot him with your arm cannon. Again, unlock your aim immediately afterwards and move; he tries to counter attack by shooting a heat seeking energy shot. You can also try to fight him by punching him, but he blocks most of the time and you will take great damage.