Knee osteoarthritis (KOA) has a significant impact on patients’ quality of life. This study aimed to assess the effectiveness of integrating transcranial direct current stimulation (tDCS) and transcutaneous electrical nerve stimulation (TENS) into an education and exercise program with the aim of decreasing pain and improving physical function in KOA. A randomized controlled trial with 65 KOA patients was conducted. The subjects were assigned to one of the following three groups: education and active exercise plus (1) double active tDCS and TENS, (2) active tDCS and sham TENS, and (3) double sham tDCS and TENS. Sessions were conducted over a 20 min period, whilst data on pain, chronic pain clinical variables, and physical function were collected. Although all groups showed improvement in pain-related symptoms in the short and medium term, the addition of tDCS and/or TENS did not significantly enhance the benefits of the exercise and education program. These findings suggest that an education and active exercise program in the treatment of KOA has a positive effect on pain, with or without the addition of tDCS and/or TENS.