Knee osteoarthritis (OA) is a chronic, multifactorial joint disorder involving cartilage degeneration, subchondral bone changes, synovial inflammation, and neuromuscular dysfunction. Exercise is first-line therapy, yet heterogeneity in modalities, dosing, and delivery limits practical guidance. A narrative review was conducted using PubMed, Scopus, Google Scholar, Frontiers, and ScienceDirect (2021–2026), focusing on aerobic, resistance, aquatic, and mind–body exercise studies. Data were extracted on type, intensity, frequency, duration, delivery, and outcomes, and synthesized narratively to provide clinically relevant insights. Exercise improves pain, function, and quality of life through enhanced muscle strength, joint stability, optimized loading, anti-inflammatory effects, and central pain modulation. Aerobic and resistance training enhance cardiovascular fitness, quadriceps and hip strength, and functional performance. Aquatic therapy reduces joint stress and improves adherence, while mind–body interventions support flexibility, balance, and stress reduction. Long-term, thrice-weekly protocols offer maximal benefit, and hybrid models combining supervised and home-based exercise optimize adherence and outcomes. Exercise is a cornerstone of knee osteoarthritis management. Individualized programs considering patient characteristics, modality-specific benefits, and delivery method are essential. Future research should refine exercise dosage, intensity, progression, and hybrid delivery strategies to maximize long-term clinical effectiveness.