The concept of knowledge management as the mainstay for building the competitive advantage of large companies has been highly emphasized in the strategic management literature, but similar studies are still rare in the realm of MSMEs. To fill this gap, this paper empirically examines the relationship between the dimensions of knowledge management capability and competitive advantage through the entrepreneurial orientation of Micro, Small and Medium Enterprises (MSMEs). The knowledge management dimensions used include knowledge management infrastructure and knowledge management processes. The analysis technique uses Structural Equation Model (SEM) with SmartPLS. Research respondents are owners/managers in 75 MSME sentra in Jakarta, Indonesia. Statistical tests show that knowledge management infrastructure has a significant effect on entrepreneurial orientation but does not have a significant effect on competitive advantage. The knowledge management process has a significant effect on entrepreneurial orientation and also on competitive advantage. Meanwhile, entrepreneurial orientation has a significant effect on competitive advantage. This reality confirms that when there is high pressure on MSMEs, it will cause actions and reactions among companies in the industry. To emphasize the important role of knowledge management in facing future pressures, wider research is needed on the consequent variables of the application of knowledge management in MSMEs, such as digital capabilities, business agility and business performance.