Rhizarthrosis is the most frequent form of osteoarthritis and is responsible for pain, disability and reduced functionality. The aim of the study is to investigate the clinical effects of shock wave treatment in patients suffering from arthritis of the first finger. A prospective clinical study was designed, in which 72 patients affected by rhizarthrosis were randomized to treatment with shock waves or exercises; in both groups an immobilization brace was used on the first finger. At recruitment and at 1, 3 and 6 months, patients received assessments of pain (VAS), functionality (FIHOA) and disability (DASH); furthermore, the perception of improvement was monitored during follow-ups (Roles and Maudsley Score). In both groups there was a significant improvement in all scores in the comparison between recruitment and 6 months. The perception of improvement was statistically better in the shock wave group than in the exercise group at 1, 3 and 6 months. The regression analysis showed that the reduction of VAS and DASH were statistically influenced by shock wave treatment (p < 0.001). Both therapies are effective in managing patients suffering from arthritis of the first finger, but the shock wave treatment could ensure greater persistence of improvements.