This paper considers a multi-target coverage problem where a robot team aims to efficiently cover multi-targets while maintaining connectivity in a distributed manner. A novel knowledge-incorporated policy framework is proposed to derive a distributed, efficient, and connectivity guaranteed coverage policy. In particular, a knowledge-guided policy network (KGPnet) is designed, which consists of observation attention representation, interaction attention representation, and knowledge-guided policy learning. Giving credit to the KGPnet, the connectivity guaranteed coverage policy can be applied to different number targets. Moreover, based on the knowledge of the algebraic connectivity and coverage rate, a comprehensive reward is designed to guide the training of the behavior of multi-target coverage with connectivity maintenance. Furthermore, since the policy learned through deep reinforcement learning (DRL) can not guarantee the connectivity of the robot team, a knowledge-nested policy filtering is designed to filter dis-connectivity policies to satisfy the connectivity constraint based on the knowledge model of connectivity maintenance. Various simulations are conducted to verify the effectiveness of the proposed method. Besides, numerous real-world experiments with three-wheel omnidirectional cars and a motion capture system are presented to demonstrate the practicability of the proposed method.