Newcastle Knights forward Alex McKinnon has given his first interview since his shocking spinal injury, revealing he has "great" feeling back in his legs.

McKinnon, 22, said the past month had been tough but he had been given incredible support by his family, fiancee and the rugby league community. He said his rehabilitation at a Sydney hospital was going well.

"I have come a long way in the four weeks, I've got a lot more movement back in my right arm and a lot more movement back in my left arm," he told Knights TV.

"It's just a matter of time before hopefully a bit more movement in my legs, I've got a great sensation and feeling through my legs. It's a lot of positive signs."

WATCH THE FULL KNIGHTS TV INTERVIEW WITH ALEX MCKINNON HERE.

McKinnon said he had been "overwhelmed" by the outpouring of support for his plight, from teammates, nurses, Knights fans and NRL supporters as far away as Sweden.

"At the start it was pretty overwhelming, I was in tears a fair bit and I didn't understand why so many people wanted to help me," he said.

"But Wayne (Bennett) made it pretty clear to be about why so many people wanted to help and I really would like to thank them eventually once I'm back."