Introduction: Knee Osteoarthritis is a major cause of pain and locomotor disability worldwide. Several physical therapy modalities have been recommended in reviewed clinical guidelines and systematic reviews, such as exercises, and electro and thermotherapy resources. Objective: This study evaluated the influence of the application of superficial heat therapy and/or therapeutic exercise on reducing pain and improving functional capacity in patients with knee osteoarthritis. Methods: 30 patients were divided into three groups (superficial heat, exercises, superficial heat plus exercises) and underwent 10 treatment sessions. Pain intensity was assessed using the visual analog scale; muscle flexibility with Wells’ bank test; strength gain with testing of one maximum repetition; walking time was analyzed with a walking test over a distance of 10 meters; and the Lequesne functional questionnaire was used to assess the functional activities of patients. Results: All treatments performed reduced knee pain. The exercise group showed an improvement in flexibility and quadriceps muscle strength. And the group that received superficial heat and therapeutic exercise showed better performance in time over a fixed distance covered. Conclusions: Therapeutic exercise and superficial thermotherapy performed in isolation showed beneficial effects in individuals with knee osteoarthritis. However, the therapeutic intervention carried out in combination showed better results in all parameters evaluated, suggesting that the clinical treatment can improve the quality of life of these individuals.