It would have been better for them not to know the HOLY COMMANDMENT delivered to them

2P 2:

20 For if, after they have escaped the defilements of the world through the knowledge of our Lord and Savior Jesus Christ, they are again entangled in them and overcome, the last state has become worse for them than the first.

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They knew better than to go back to their old way of life of defilement.

21 For it would have been better for them never to have known the way of righteousness than after knowing it to turn back from the holy commandment delivered to them. 22 What the true proverb says has happened to them: “The dog returns to its own vomit, and the sow, after washing herself, returns to wallow in the mire.”

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What was this holy commandment that Peter had in mind?

Peter used a singular noun here but I don't think he had any single commandment in mind. He probably was referring to the Gospel teaching collectively. They had known the Gospel that Christ died for their sins. They knew better not to go back to their sinful life before. They knew Jesus and then they abandoned him.