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In many industrial, scientific and commercial applications, it is often necessary to analyze large data sets, maintained over geographically distributed sites, by using the computational power of distributed and parallel systems. The grid can play a significant role in providing an effective computational support for knowledge discovery applications. We describe a software architecture for geographically distributed high-performance knowledge discovery applications called Knowledge Grid, which is designed on top of computational grid mechanisms, provided by grid environments such as Globus. The Knowledge Grid uses the basic grid services such as communication, authentication, information, and resource management to build more specific parallel and distributed knowledge discovery tools and services. The paper discusses how the Knowledge Grid can be used to implement distributed data mining services.