Tying knots and linking microscopic loops of polymers, macromolecules, or defect lines in complex materials is a challenging task for material scientists. We demonstrate the knotting of microscopic topological defect lines in chiral nematic liquid-crystal colloids into knots and links of arbitrary complexity by using laser tweezers as a micromanipulation tool. All knots and links with up to six crossings, including the Hopf link, the Star of David, and the Borromean rings, are demonstrated, stabilizing colloidal particles into an unusual soft matter. The knots in chiral nematic colloids are classified by the quantized self-linking number, a direct measure of the geometric, or Berry's, phase. Forming arbitrary microscopic knots and links in chiral nematic colloids is a demonstration of how relevant the topology can be for the material engineering of soft matter.