An exoskeleton robot helps the wearer with mechanical forces by identifying the wearer’s intentions and requires high energy efficiency, sufficient load capacity, and a comfortable fit. However, since it is difficult to implement complex anatomical movements of the human body, most exoskeleton robots are designed simply, unlike the anatomy of real humans. This forces the wearer to accept the robot’s stiffness entirely, and to use energy inefficiently from the power source. In this paper, a simple 1 degree of freedom (DoF) structure, which was mainly used in the knees of exoskeleton robots, was designed with a polycentric (multi-axial) structure to minimize the misalignment between wearer and robot, so that torque transfer could be carried out efficiently. In addition, the overall robot system was constructed by using an electro-hydraulic actuator (EHA) to solve the problems of the energy inefficiency of conventional hydraulic actuators and the low load capacity of conventional electric actuators. After the configuration of the hardware system, the sliding mode controller was designed to address the EHA nonlinear models and the uncertainty of the plant design. This was configured as Simulink for the first verification, and the experiment was conducted by applying it to the actual model to demonstrate the performance of the sliding mode control. In this process, an optical rotary encoder was used as the main feedback sensor of the controller. The proposed polycentric knee exoskeleton robot system using the EHA was able to reach the desired target value well despite the presence of many model uncertainties.