Knee osteoarthritis is a chronic degenerative disease. Cartilage and subchondral bone degeneration, as well as synovitis, are the main pathological changes associated with knee osteoarthritis. Mechanical overload, inflammation, metabolic factors, hormonal changes, and aging play a vital role in aggravating the progression of knee osteoarthritis. The main treatments for knee osteoarthritis include pharmacotherapy, physiotherapy, and surgery. However, pharmacotherapy has many side effects, and surgery is only suitable for patients with end-stage knee osteoarthritis. Exercise training, as a complementary and adjunctive physiotherapy, can prevent cartilage degeneration, inhibit inflammation, and prevent loss of the subchondral bone and metaphyseal bone trabeculae. Increasing evidence indicates that exercise training can improve pain, stiffness, joint dysfunction, and muscle weakness in patients with knee osteoarthritis. There are several exercise trainings options for the treatment of knee osteoarthritis, including aerobic exercise, strength training, neuromuscular exercise, balance training, proprioception training, aquatic exercise, and traditional exercise. For Knee osteoarthritis (KOA) experimental animals, those exercise trainings can reduce inflammation, delay cartilage and bone degeneration, change tendon, and muscle structure. In this review, we summarize the main symptoms of knee osteoarthritis, the mechanisms of exercise training, and the therapeutic effects of different exercise training methods on patients with knee osteoarthritis. We hope this review will allow patients in different situations to receive appropriate exercise therapy for knee osteoarthritis, and provide a reference for further research and clinical application of exercise training for knee osteoarthritis.