In this Sequential Multiple Assignment Randomized (SMART) Trial, the investigators care comparing Cognitive Behavioral Therapy for Pain (CBT-P) with EXERCISE (knee-specific Physical Therapy) delivered individually and sequentially. A subset of participants will receive enhanced care as usual in which their primary care physicians will receive information about pharmacological management of knee osteoarthritis. The active phase of the study may be up to 16 weeks, and the follow-up period lasts 12 months.