To identify contextual factors that modify the treatment effect of the 'Good Life with osteoArthritis in Denmark' (GLAD) exercise and education programme compared to open-label placebo (OLP) on knee pain in individuals with knee osteoarthritis (OA). Secondary effect modifier analysis of a randomised controlled trial. 206 participants with symptomatic and radiographic knee OA were randomised to either the 8-week GLAD programme (n=102) or OLP given as 4 intra-articular saline injections over 8 weeks (n=104). The primary outcome was change from baseline to week 9 in the Knee injury and Osteoarthritis Outcome Score questionnaire (KOOS) pain subscale (range 0 (worst) to 100 (best)). Subgroups were created based on baseline information: BMI, swollen study knee, bilateral radiographic knee OA, sports participation as a young adult, sex, median age, a priori treatment preference, regular use of analgesics (NSAIDs or paracetamol), radiographic disease severity, and presence of constant or intermittent pain. Participants who reported use of analgesics at baseline seem to benefit from the GLAD programme over OLP (subgroup contrast: 10.3 KOOS pain points (95% CI 3.0 to 17.6)). Participants with constant pain at baseline also seem to benefit from GLAD over OLP (subgroup contrast: 10.0 points (95% CI 2.8 to 17.2)). These results imply that patients who take analgesics or report constant knee pain, GLAD seems to yield clinically relevant benefits on knee pain when compared to OLP. The results support a stratified recommendation of GLAD as management of knee OA. ClinicalTrials.gov Identifier: NCT03843931. EudraCT number 2019-000809-71.