| O what can ail thee, knight at arms, |
The opening image of the poem is the knight looking "pale" and "ail[ing]" while hanging out "alone." Clearly, this guy doesn't want to be alone. Even that opening syllable, "O" suggests emptiness (it looks like a zero).
| And no birds sing. (line 4) |
Even the birds have abandoned the knight. Poor guy.
| O what can ail thee, knight at arms, |
As thought the knight needs to be reminded that he's miserable, the opening speaker repeats the same question again in the second stanza, this time commenting on the knight's "haggard" looks.
| And on thy cheeks a fading rose |
The "fading rose" on the knight's "cheeks" suggests his sickly paleness (his cheeks are no longer "rosy"), but the "fading rose" also suggests a failed love affair, since roses so often represent love.
| And I awoke and found me here |
After the knight wakes up from his nightmare about the "pale kings," he finds himself, quite literally, out in the cold.
| And this is why I sojourn here, |
The knight thinks that his crazy story about the beautiful lady and her "elfin grot" is an adequate answer to the opening speaker's question about what "ails" him. Of course, the story is so ambiguous that it's not much of an answer at all.