The Skyrim Wiki Forum's user Stabslash says, under What "Arrow to the Knee" Really Means:
When the guards in Skyrim talk, you will often hear them saying the famous saying, "I used to be an adventurer like you, but then I took an arrow to the knee. What this really means is that the guard got married. Yes, married. Let me explain to you.
In Nordic/Scandinavian countries, "taking an arrow to the knee" meant that you are getting married/already got married. It refers to when we propose, we fall to one knee, comparing it to when a man gets shot in the leg, he, of course, falls to one knee.
While this seems plausible, does "Arrow to the knee" truly signify "getting married" in the Nordic/Scandinavian regions?
Best Answer
No, it actually doesn't. It was apparently just made up by Bethesda employee Emil Pagliarulo, not expecting it to become an enormous meme.
Here's an interview with Todd Howard, Bethesda's Chief Game Developer.
Also, it wouldn't make sense for this to be the case, as this post claims:
Also, since the quote implies that the saying is a current Nordic/Scandinavian saying, look at this thread.