Knee osteoarthritis is a common disease in the elderly population worldwide. The alleviation of the symptoms associated with this disease can be achieved with physical exercise that induces a cascade of molecular and cellular processes. Of the neurotrophins, brain-derived neurotrophic factor (BDNF) appears to be the most affected by physical activity. Moreover, BDNF seems to have a negative modulatory role in inflammation, and its production by skeletal muscle cells or by cells of the immune system drives the immunoprotective role of physical activity in situations of chronic inflammation. Therefore, the aim of this study was to evaluate plasma BDNF concentrations in elderly individuals presenting with knee osteoarthritis. To accomplish this, sixteen volunteers (mean age 67 ± 4.41 years) presenting with clinically and radiographically diagnosed knee osteoarthritis were evaluated during acute exercise (1 session of 20 min on a treadmill) and after chronic exercise (12 weeks of aerobic training, consisting of a 50-min walk 3 times per week). Additionally, both a functional assessment (during a 6-min walk) and a pain perception assessment were performed at the start and at the end of physical exercises (training). The plasma BDNF concentrations were measured by ELISA. For the population studied, acute exercise increased the levels of BDNF only before the 12-week training period (p < 0.001). Moreover, the training augmented the plasma concentrations of BDNF (p < 0.0001) and improved clinical parameters (functional p < 0.001; pain perception p < 0.01).