To solve the low running speed problem of Knuth39 random number generator, a Knuth39 parallelization method based on Many Integrated Core (MIC) platform was proposed. Firstly, the random number sequence of Knuth39 generator was divided into subsequences by regular interval. Then, the random numbers were generated by every thread from the corresponding subsequence's starting point. Finally, the random number sequences generated by all threads were combined into the final sequence. The experimental results show that the parallelized Knuth39 generator successfully passed 452 tests of TestU01, the results are the same as those of Knuth39 generator without parallelization. Compared with single thread on Central Processing Unit (CPU), the optimal speed-up ratio on MIC platform is 15.69 times. The proposed method improves the running speed of Knuth39 generator effectively, ensures the randomness of the generated sequences, and it is more suitable for high performance computing.