This paper considers the following three Roman domination graph invariants on Kneser graphs: Roman domination, total Roman domination, and signed Roman domination. For Kneser graph Kn,k, we present exact values for Roman domination number γR(Kn,k) and total Roman domination number γtR(Kn,k) proving that for n⩾, \gamma_{R}(K_{n,k}) =\gamma_{tR}(K_{n,k}) = 2(k+1). For signed Roman domination number \gamma_{sR}(K_{n,k}), the new lower and upper bounds for K_{n,2} are provided: we prove that for n\geqslant 12, the lower bound is equal to 2, while the upper bound depends on the parity of n and is equal to 3 if n is odd, and equal to 5 if n is even. For graphs of smaller dimensions, exact values are found by applying exact methods from literature.