Establishing prevention and therapeutic strategies for osteoarthritis (OA) is necessary to minimize functional disability and the impact of the disease on society. The aim of this study was to determine the effects of an exercise therapy protocol on inflammatory markers, perception of pain, and physical performance in individuals with OA of the knee. The protocol consisted of flexibility training and muscle strengthening over 12 weeks with three 80-min sessions per week. Peripheral blood was collected to determine serum levels of interleukin-6 (IL-6), tumor necrosis factor alpha (TNF-α), and soluble forms of the TNF-α receptor (sTNFR1 and sTNFR2). A clinical assessment of the musculoskeletal system and Western Ontario and McMaster Universities (WOMAC) questionnaire were applied to evaluate the specific symptoms of knee OA. Pain intensity was evaluated using a visual analog scale (VAS). All measurements were taken before and after the intervention. Twenty-two individuals (mean age 58.8 ± 6.4 years) completed the protocol. A decrease in the perception of pain was evident on VAS (p < 0.001) and pain subscale of the WOMAC (p < 0.001). In addition, there was a reduction in serum levels of IL-6 (p < 0.001). However, changes in the levels of the TNF-α and its soluble receptors were not statistically significant. Physical function subscale score and the WOMAC global score improved significantly (p < 0.001). The training also promoted an increase in the progression load for all muscles groups analyzed (p < 0.001). Our data suggest that the exercise therapy protocol could be a strategy for reducing IL-6 levels, managing pain, and improving function in individuals with OA of the knee. However, more studies are necessary to investigate the issue.