This study tested the separate and combined effects of spouse-assisted pain coping skills training (SA-CST) and exercise training (ET) in a sample of patients having persistent osteoarthritic knee pain. Seventy-two married osteoarthritis (OA) patients with persistent knee pain and their spouses were randomly assigned to: SA-CST alone, SA-CST plus ET, ET alone, or standard care (SC). Patients in SA-CST alone, together with their spouses, attended 12 weekly, 2-h group sessions for training in pain coping and couples skills. Patients in SA-CST + ET received spouse-assisted coping skills training and attended 12-weeks supervised ET. Patients in the ET alone condition received just an exercise program. Data analyses revealed: (1) physical fitness and strength: the SA-CST + ET and ET alone groups had significant improvements in physical fitness compared to SA-CST alone and patients in SA-CST + ET and ET alone had significant improvements in leg flexion and extension compared to SA-CST alone and SC, (2) pain coping: patients in SA-CST + ET and SA-CST alone groups had significant improvements in coping attempts compared to ET alone or SC and spouses in SA-CST + ET rated their partners as showing significant improvements in coping attempts compared to ET alone or SC, and (3) self-efficacy: patients in SA-CST + ET reported significant improvements in self-efficacy and their spouses rated them as showing significant improvements in self-efficacy compared to ET alone or SC. Patients receiving SA-CST + ET who showed increased self-efficacy were more likely to have improvements in psychological disability. An intervention that combines spouse-assisted coping skills training and exercise training can improve physical fitness, strength, pain coping, and self-efficacy in patients suffering from pain due to osteoarthritis.