For any graph $G = (V,E)$ and positive integer $d$, the exact distance-$d$ graph $G_{=d}$ is the graph with vertex set $V$, where two vertices are adjacent if and only if the distance between them in $G$ is $d$. We study the exact distance-$d$ Kneser graphs. For these graphs, we characterize the adjacency of vertices in terms of the cardinality of the intersection between them. We present formulas describing the distance between any pair of vertices and we compute the diameter of these graphs.