The aim of this study was to investigate utilisation patterns of prescribed analgesics before, during, and after an exercise therapy and patient education program among patients with knee or hip osteoarthritis. This cohort study is based on data from the nationwide Good Life with osteoarthritis in Denmark (GLA:D®) patient-register linked with national health registries including data on prescribed analgesics. GLA:D® consists of 8–12 weeks of exercise and patient education. We included 35,549 knee/hip osteoarthritis patients starting the intervention between January 2013 and November 2018. Utilisation patterns the year before, 3 months during, and the year after the intervention were investigated using total dispensed defined daily doses (DDDs) per month per 1000 population as outcome. During the year before the intervention, use of prescribed paracetamol, non-steroidal anti-inflammatory drugs (NSAIDs), and opioids increased with 85%, 79% and 22%, respectively. During the intervention, use of paracetamol decreased with 16% with a stable use the following year. Use of NSAIDs and opioids decreased with 38% and 8%, respectively, throughout the intervention and the year after. Sensitivity analyses indicated that the prescription of most analgesics changed over time. For paracetamol, NSAIDs, and opioids, 10% of analgesic users accounted for 45%, 50%, and 70%, respectively, of the total DDDs dispensed during the study period. In general, analgesic use increased the year before the intervention followed by a decrease during the intervention and the year after. A small proportion of analgesic users accounted for half or more of all paracetamol, NSAIDs, and opioids dispensed during the study period.