The relationship among inflammation, pain, and cognitive decline in osteoarthritis (OA) patients is complex and has not been sufficiently explored; therefore, we undertook this research to evaluate how OA-related inflammation and pain affect cognitive functions, as well as to examine the potential of urinary markers as indicators of these conditions. This study examined fifty OA patients through clinical and cognitive assessments, morphological analyses, urinary biomarkers, and bioinformatics. Morphologically, 24% of patients had moderate to high synovial inflammation, which was significantly correlated with depressive symptoms, pain intensity, and self-reported anxiety. The Montreal Cognitive Assessment indicated minimal decline in most patients but showed negative correlations with age and inflammation severity. Urinary TNF-α and TGF-β1 levels positively correlated with body mass index and pain and synovitis score and immune cell infiltration, respectively. In contrast, cartilage oligomeric matrix protein and C-telopeptides of type II collagen showed inverse correlations with pain duration and cognitive function, respectively. Distinct patient clusters with higher inflammation were identified and were associated with reported pain and depressive symptoms. Urinary TNF-α and TGF-β1 can serve as biomarkers reflecting inflammation and disease severity in OA. This study suggests that synovial inflammation may be linked to mental and cognitive health in some patient cohorts.