It appears that Einstein did in fact say this on multiple occasions, but most notably in his 1931 book _Cosmic Religion and Other Opinions and Aphorisms_.
> At times I feel certain I am right while not knowing the reason. When the eclipse of 1919 confirmed my intuition, I was not in the least surprised. In fact, I would have been astonished had it turned out otherwise. **Imagination is more important than knowledge. For knowledge is limited, whereas imagination embraces the entire world, stimulating progress, giving birth to evolution.** It is, strictly speaking, a real factor in scientific research.