Sorry if I'm missing something :)
But it works today

import knex from 'knex';
// const db = app.context.db = knex({ client: "sqlite", connection: "./knex-mjs.sqlite" });
const db = knex({
    client: "sqlite3",
    connection: {
        filename: "./knex-mjs.sqlite"
    },
   migrations: {  // important! 
        loadExtensions: [".mjs"],
    },
    useNullAsDefault: true
});
db.migrate.latest({
    extension: 'mjs',
    directory: 'db/migrations',
}).then(() => {
    console.log("done")
    process.exit()
}).catch(e => {
    console.error(e);
    process.exit(1)
})

$node --version
v14.8.0

$node index.mjs
FS-related option specified for migration configuration. This resets migrationSource to default FsMigrations      
done

$cat package.json
{
  "name": "knex-esm",
  "dependencies": {
    "knex": "^0.21.5",
    "sqlite3": "^5.0.0"
  },
  "scripts": {
    "knex": "knex"
  }
}

$cat db/migrations/one.mjs
/**
 * @param {import("knex")} knex
 */
export function up(knex) {
    return knex.schema.createTable('xyz', (table) => {
        table.string('name');
    });
}
/**
 * @param {import("knex")} knex
 */
export function down(knex) {
    return knex.schema.dropTable('xyz');
}

$rm knex-mjs.sqlite && node index.mjs && sqlite3 knex-mjs.sqlite "select name from sqlite_master"

FS-related option specified for migration configuration. This resets migrationSource to default FsMigrations
FS-related option specified for migration configuration. This resets migrationSource to default FsMigrations
FS-related option specified for migration configuration. This resets migrationSource to default FsMigrations
done
knex_migrations
sqlite_sequence
knex_migrations_lock
xyz
$

Thanks! I didn't realize I had to specify the extension of my migration files twice... or maybe the "extension:" key is not needed?

I find it really strange that the extension: configuration key to migrate.latest() doesn't configure it to use migrations with that extension.

I suggest either:

1. The extension: config sets that extension for both reading and writing migration files (so my example could would work as-is).

or

2. A note is added to the docs for extension:' key here http://knexjs.org/#Migrations-API cautioning that this config isn't used when reading migration files and that you need to use loadExtensions:` for that.

Yes, Its not very intuitive, I think.
Tracking the 'extension' property by usage, Seems to be used to generate stubs only.
There is a note, now, in the docs, on the 'esm' section , where it mentions 'loadExtension', specifically for 'mjs' files.
You have to be explicit because is not on the default file extension list.
While is esm related, mjs is part of the current/standard NodeJs module resolution,
perhaps it should be added to default list of well known extensions ?
And maybe a jsdoc entry in the type definition ?