BACKGROUND: Osteoarthritis (OA) of the knee is associated with a number of physical and psychological impairments. Unfortunately, very few treatment strategies are capable of addressing both types of impairments concurrently. We performed a pilot, randomized controlled, proof of principle trial investigating the feasibility and effects of an intervention combining physical exercise and pain coping skills training (PCST). METHODS: Twenty patients with a clinical and radiographical diagnosis of tibiofemoral OA were randomized to receive either 10 weeks of physiotherapist supervised exercises (lower limb strengthening and walking) combined with non-directive counseling (NDC) or the same exercise program delivered concurrently with PCST. Primary outcomes included self-reported pain and pain coping, while secondary outcomes included self efficacy and self-reported physical function. RESULTS: Ten participants were randomized to each group and both groups exhibited significant improvements in isometric knee strength, self-reported knee pain and physical function, self efficacy for control of pain management and other arthritis symptoms. Only those in the exercise + PCST group reported statistically significant improvements in pain control coping and rational thinking. No between-group differences existed in any outcome (0.07 < p < 0.98). Based on our findings, 63 participants per group would be needed for future large-scale studies using similar outcome measures and design. CONCLUSIONS: Our study showed that an intervention that combines exercise and PCST within the same treatment session and delivered by specially-trained physiotherapists is feasible and can improve both physical and psychological outcomes in individuals with knee OA. LEVEL OF EVIDENCE: Level II Clinical Trials Registry number: ACTRN12609000623291.