UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

SCHEDULE 13D

Under the Securities Exchange Act of 1934

(Amendment No. 1)

KNIGHT CAPITAL GROUP, INC.

(Name of Issuer)

Class A Common Stock, Par Value $0.01 Per Share

(Title of Class of Securities)

499005106

(CUSIP Number)

Roland T. Kelly

11100 Santa Monica Boulevard, 11th Floor

Los Angeles, CA 90025

Tel: (310) 914-1373

(Name, Address and Telephone Number of Person Authorized to Receive Notices and Communications)

December 17, 2012

(Date of Event which Requires Filing of this Statement)

If the filing person has previously filed a statement on Schedule 13G to report the acquisition that is the subject of this Schedule 13D, and is filing this schedule because of §§240.13d-1(e), 240.13d-1(f) or 240.13d-1(g), check the following box.  ¨

Note : Schedules filed in paper format shall include a signed original and five copies of the schedule, including all exhibits. See §240.13d-7 for other parties to whom copies are to be sent.

The information required on the remainder of this cover page shall not be deemed to be “filed” for the purpose of Section 18 of the Securities Exchange Act of 1934 (“Act”) or otherwise subject to the liabilities of that section of the Act but shall be subject to all other provisions of the Act (however, see the Notes).

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This Amendment No. 1 amends and supplements Items 4, 5 and 6 of the Schedule 13D filed on August 15, 2012 by (i) Jefferies & Company, Inc. (“Jefferies”), (ii) Jefferies Group, Inc. (“Jefferies Group”), (iii) Jefferies High Yield Holdings, LLC (“Holdings”) and (iv) Jefferies High Yield Trading, LLC (“Trading,” together with Jefferies, Jefferies Group and Holdings, the “Reporting Persons”) relating to the Class A Common Stock, par value $0.01 (the “Common Stock”), of Knight Capital Group, Inc., a Delaware corporation (the “Issuer”). Unless otherwise indicated, all capitalized terms used but not defined herein have the meanings set forth in the Schedule 13D.

Item 4 of the Schedule 13D is hereby amended and supplemented as follows:

On December 19, the Issuer and GETCO Holding Company LLC (“GETCO”) entered into a definitive merger agreement that contemplates a business combination of the Issuer and GETCO. The Reporting Persons intend to elect to receive merger consideration in exchange for their Issuer Common Stock under the terms of that merger agreement, and have entered into a separate agreement with GETCO under which they have agreed to certain restrictions on the merger consideration they might receive (a copy of that letter is attached). During the prior two days, contemporaneous with GETCO’s offer, the Reporting Persons advised the Board of Directors of the Issuer that the Reporting Persons believe a transaction involving the Issuer and a third party is preferable to continuing with the status quo at the Issuer. The Reporting Persons also informed the Board of Directors of the Issuer that a then-developing proposal by GETCO, the parameters of which were known to Jefferies in its capacity as an advisor to GETCO, would be acceptable to the Reporting Persons if approved by the Issuer’s Board of Directors, as would any superior proposal with equal likelihood of closing.

The Reporting Persons retain the right to change their intent and to pursue any transaction contemplated in Items 4(a) through (j) of Schedule 13D and, to the extent the Reporting Persons operate as broker-dealers, they retain the right to pursue a role as a financial advisor, underwriter or placement agent to third parties with respect to any such transaction.

ITEM 5. INTEREST IN SECURITIES OF THE ISSUER

Item 5 of the Schedule 13D is hereby amended and supplemented as follows:

As reported in the Schedule 14A filed with the SEC by the Issuer on November 19, 2012, the total number of issued and outstanding shares of Common Stock is 173,237,835. This number excludes any shares of Common Stock issuable upon the conversion of any Preferred Stock.

(a) Amount and Percentage of Class Beneficially Owned

Amount Beneficially Owned:

As of the date hereof:

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Percentage of Class:

The calculations set forth in this Item 5(a) are based on 173,237,835 shares of Common Stock outstanding.

(b) Number of shares as to which such person has:

Sole power to vote or to direct the vote: -0-

Shared power to vote or to direct the vote: 81,262,363

Sole power to dispose or to direct the disposition of: -0-

Shared power to dispose or to direct the disposition of: 81,262,363

Sole power to vote or to direct the vote: -0-

Shared power to vote or to direct the vote: 81,262,363

Sole power to dispose or to direct the disposition of: -0-

Shared power to dispose or to direct the disposition of: 81,262,363

Sole power to vote or to direct the vote: -0-

Shared power to vote or to direct the vote: 16,250,008

Sole power to dispose or to direct the disposition of: -0-

Shared power to dispose or to direct the disposition of: 16,250,008

Sole power to vote or to direct the vote: -0-

Shared power to vote or to direct the vote: 16,250,008

Sole power to dispose or to direct the disposition of: -0-

Shared power to dispose or to direct the disposition of: 16,250,008

The filing of this Schedule 13D shall not be construed as an admission that Jefferies, Trading, Holdings, or Jefferies Group is, for purposes of Sections 13(d) or 13(g) of the Securities Exchange Act of 1934, the beneficial owner of any shares not held directly for the account of each such Reporting Person covered by this Schedule 13D.

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(c) Except as set forth herein, none of the Reporting Persons nor, to the Reporting Persons’ best knowledge, any of the Schedule Persons, has engaged in any transaction during the past 60 days in any Common Stock of the Issuer.

ITEM 6. CONTRACTS, ARRANGEMENTS, UNDERSTANDINGS OR RELATIONSHIPS WITH RESPECT TO SECURITIES OF THE ISSUER

Item 6 of the Schedule 13D is hereby amended and supplemented by incorporating the information set forth in Item 4 above.

ITEM 7. MATERIALS TO BE FILED AS EXHIBITS

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Jefferies & Company, Inc., Jefferies High Yield Trading, LLC, Jefferies High Yield Holdings, LLC, and Jefferies Group, Inc. agreed to jointly file this Schedule 13D.

Dated: December 19, 2012

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Exhibit 99.1

December 19, 2012

Michael Sharp, General Counsel

Jefferies & Company, Inc.

Jefferies High Yield Trading, LLC

520 Madison Avenue

New York, NY 10022

Dear Mr. Sharp:

Reference is made to that certain Agreement and Plan of Merger (the “Merger Agreement”), dated as of December 19, 2012, among GETCO Holding Company, LLC (“GETCO”), Knight Capital Group, Inc. (“Knight”) and GA-GTCO, LLC. The Merger Agreement contemplates a business combination of GETCO and Knight through the consummation of certain mergers and related transactions (as contemplated by the Merger Agreement, the “Transaction”). The Merger Agreement provides that the former holders of Knight common stock will be permitted to elect to receive their merger consideration, upon the closing of the Transaction, in the form of cash, common stock of a newly formed public company or a combination of the two, in accordance with the terms set forth in Section 2.3 of the Merger Agreement.

This letter agreement (this “Letter Agreement”) sets forth the agreement among GETCO, Jefferies & Company, Inc. and Jefferies High Yield Trading, LLC (together, “Jefferies”) regarding the cash election of Jefferies pursuant to Section 2.3 of the Merger Agreement with respect to all Knight common stock owned by Jefferies in connection with the Transaction.

In consideration of the premises and other good and valuable consideration, the receipt and sufficiency of which are hereby acknowledged, and intending to be legally bound hereby, each of GETCO and Jefferies hereby agree as follows:

1. Jefferies Excess Shares.

(a) Jefferies hereby agrees that if it makes a cash election with respect to more than 50% of the shares of Knight common stock owned by it (in the aggregate), and the total number of “Cash Election Shares” (as defined in the Merger Agreement) is greater than the “Cash Election Shares Limit” (as defined

in the Merger Agreement), then the Exchange Agent (as defined in the Merger Agreement) shall, before reducing the amount of any other holders’ Cash Election Shares (in accordance with the pro rata mechanism provided in Section 2.3 of the Merger Agreement) reduce the number of Cash Election Shares of Jefferies down to 50% of the total shares of Knight common stock owned by Jefferies.

(b) Jefferies agrees to provide GETCO a copy of any election form (or similar form or document) relating to its elections within 24 hours from the time such form is transmitted to the exchange agent (or other person designated to receive such forms in connection with the Transaction).

2. Authority; Consents.

(a) Each party hereto represents and warrants to the other party that (i) it has the full corporate power and authority to execute and deliver this Letter Agreement and to carry out the terms and provisions of this Letter Agreement, (ii) the execution and delivery of this Letter Agreement and the performance of the obligations contemplated hereunder, have, if required, been duly and validly approved by the board of directors or comparable governing body of such party and authorized by all necessary action by such party, (iii) this Letter Agreement has been duly and validly executed and delivered by such party and constitutes a valid and binding agreement of such party, enforceable against it in accordance with its terms, and (iv) no other action is necessary to authorize the execution and delivery by such party or the performance of such party’s obligations hereunder.

(b) The execution and delivery by Jefferies of this Letter Agreement does not, and the performance of Jefferies’ obligations hereunder will not, require Jefferies to obtain any consent, approval, authorization or permit of, or to make any filing with or notification to, any person or governmental entity except for such filings as may be required pursuant to applicable U.S. securities laws.

3. Acknowledgement. Jefferies acknowledges that GETCO will be irreparably harmed by and that there will be no adequate remedy at law for a violation by Jefferies of its obligations under this Letter Agreement. Without limiting other remedies, GETCO shall have the right to enforce this Letter Agreement by specific performance or injunctive relief.

4. Governing Law. This Letter Agreement shall be governed by and construed in accordance with the laws of the State of Delaware without regard to principles of conflicts of laws.

5. Binding on Successors. The terms and conditions of this Letter Agreement shall inure to the benefit of and be binding upon the parties hereto and the heirs, successors and assigns of Jefferies and the successors and assigns of GETCO.

6. Counterparts. This Letter Agreement may be executed in one or more counterparts, each of which, including those received via facsimile transmission or e-mail, shall be deemed an original, and all of which shall constitute one and the same agreement.

[Signature Page Follows]

Dated: December 19, 2012

Dated: December 19, 2012

[Signature Page to Letter Agreement]