Knee osteoarthritis (OA) represents one of the most common causes of disability in the world. It leads to social, psychological and economic costs with financial consequences, also because a further increase is expected. Different knee OA treatments are usually considered in relation to the stage of the disease, such as surgical management and pharmacologic and non-pharmacologic treatments. Treatment should begin with the safest and least invasive one, before proceeding to more invasive, expensive ones. Non-pharmacologic, behavioral treatments of knee OA are recommended not only in rehabilitation but also in prevention because many risk factors, such as excess weight, obesity and joint tissue inflammation, can be monitored and thus prevented. In the present review, we analyze data from the most recent literature in relation to the effects of physical exercise on prevention, therapy and rehabilitation in knee OA. All data suggest that physical exercise is an effective, economical and accessible tool to everyone, in the treatment and prevention of knee OA. The literature search was conducted on PubMed, Scopus and Google Scholar using appropriate keywords in relation to knee osteoarthritis.