This study examined the unique contribution of acute exercise to perceptions of pain in 32 older, overweight, or obese adults with knee osteoarthritis (OA), statistically controlling for the effect of diurnal variation, supplemental medication intake, and stress. Using an ecological momentary assessment method, 964 pain appraisals were recorded and coded into experience samplings that occurred either on a nonexercise day or before or following scheduled activity on an exercise day. Univariate and multivariate multilevel modeling analyses controlling for supplemental medication intake and stress revealed a quadratic trend in diurnal pain variations with the peak occurring mid-afternoon. Although pain was significantly elevated following exercise in comparison with the predicted diurnal pattern, pain reports later in the day following exercise were significantly lower than immediately following exercise. We conclude that the pain associated with acute exercise by older, overweight, or obese adults who have knee OA is transient. Findings are discussed in terms of the implications of exercise therapy for patients with knee OA.