Night Overground services kick off in east London on Friday 15 December, with 24-hour services operating on Friday and Saturday nights on the London Overground between New Cross Gate and Dalston Junction, extending to Highbury & Islington next year.
Alongside the announcement, Khan said: "I'm delighted that we can bring night services to the east London line for the first time ever next month".
"TfL's announcement that all night London Overground services will pass through Canada Water is fantastic news for people visiting our events". The 24-hour service follows the Night Tube, which was launched in August past year.
About 300,000 journeys are being made every weekend on London's Night Tube service.
Bad news for Whitechapel residents though, as the night services won't be calling at that station until Crossrail works there are complete.
Will Rogers, managing director of Arriva Rail London, which operates the overground on behalf of TfL, said that Arriva is looking forward to the launch of the night service.