Physical activity (PA) plays a vital role in knee osteoarthritis (KOA) management. However, engaging individuals with KOA in regular exercise is challenging, especially when they are affected by obesity. The aim of the current review is to elucidate how to increase adherence to exercise in this population. When implementing a PA program with patients with KOA and obesity, a specific multi-step approach can be adopted. In phase I (the baseline assessment), the patients’ eligibility for exercise is ascertained and a physical fitness assessment, sarcopenic obesity screening and quantification of the pain experienced are undertaken. Phase II adopts a patient-centered approach in implementing a PA program that combines an active lifestyle (>6000 steps/day) with land- or water-based exercise programs performed over eight to twelve weeks, with a frequency of three to five sessions per week, each lasting 60 min. In phase III, several strategies can be used to increase the patients’ adherence to higher levels of PA, including the following: (i) personalizing PA goal-setting and real-time monitoring; (ii) enhancing physical fitness and the management of sarcopenic obesity; (iii) building a sustainable environment and a supportive social network for an active lifestyle; and (iv) reducing pain, which can ameliorate the clinical severity of KOA and help with weight management in this population.