More than 10% of the world’s population suffers from osteoarthritis (OA) of the knee, with a lifetime risk of 45%. Current treatments for knee OA pain are as follows: weight control; oral pharmacological treatment (non-steroidal anti-inflammatory drugs, paracetamol, opioids); mechanical aids (crutches, walkers, braces, orthotics); therapeutic physical exercise; and intraarticular injections of corticosteroids, hyaluronic acid, and platelet-rich plasma (PRP). The problem is that such treatments usually relieve joint pain for only a short period of time. With respect to intraarticular injections, corticosteroids relieve pain for several weeks, while hyaluronic acid and PRP relieve pain for several months. When the above treatments fail to control knee pain, total knee arthroplasty (TKA) is usually indicated; however, although a very effective surgical technique, it can be associated with medical and postoperative (surgery-related) complications. Therefore, it seems essential to look for safe and effective alternative treatments to TKA. Recently, there has been much research on intraarticular injections of mesenchymal stem cells (MSCs) for the management of OA of the knee joint. This article reviews the latest information on the molecular mechanisms of action of MSCs and their potential therapeutic benefit in clinical practice in patients with painful knee OA. Although most recent publications claim that intraarticular injections of MSCs relieve joint pain in the short term, their efficacy remains controversial given that the existing scientific information on MSCs is indecisive. Before recommending intraarticular MSCs injections routinely in patients with painful knee OA, more studies comparing MSCs with placebo are needed. Furthermore, a standard protocol for intraarticular injections of MSCs in knee OA is needed.