The aim of this study was to evaluate levels of interleukin 6 (IL-6), tumor necrosis factor alpha (TNF-α), and soluble forms of the TNF-α receptor (sTNFR1 and sTNFR2) from plasma taken from the peripheral blood of elderly individuals presenting with osteoarthritis (OA) of the knee. These patients underwent aerobic treatment through the use of physical exercises. The study consisted of a longitudinal analysis of older individuals presenting clinical and radiographic diagnosis of knee OA that were submitted to 12 weeks of aerobic treatment. The individuals were evaluated during acute exercise or after chronic exercise. During acute exercise (walking slowly on the mat), blood samples of the patients were collected before, immediately after, and 30 min following the end of training. After chronic exercise (aerobic walking training, three times/week for 12 weeks), patient blood samples were obtained for comparison. Additionally, clinical and functional assessments (WOMAC test and 6-min walk) were performed at the end of all physical exercises. Plasma concentrations of cytokines and soluble receptors were measured by ELISA. Aerobic training increased the plasma concentration of sTNR1; however, it decreased the plasma concentration of sTNFR2, when compared with levels of resting patients. Acute exercise differentially affects the levels of sTNFR1 dependent on when the samples were taken, before and after aerobic training. However, the levels of sTNFR2 were not affected by training. For the population studied, we observed differences in the levels of sTNFR1 and sTNFR2 following acute and chronic exercise. Other additional factors, like the level of inactivity of the individual and the type of physical exercise that patients are exposed to, need to be considered as well. The variation in the levels of soluble receptors correlated with functional improvement; however, the inflammatory osteoarthritis markers (IL-6 and TNF-α) were unaffected by the walking exercises.