Abstract Background It is not yet clear which of the various electrophysical modalities used in clinical practice is the one that contributes most positively when added to an exercise program in patients with knee osteoarthritis (OA). The aim of the present study was to analyze the clinical effects of the inclusion of interferential current therapy (ICT), shortwave diathermy therapy (SDT) and photobiomodulation (PHOTO) into an exercise program in patients with knee OA. Methods This prospective, five-arm, randomised, placebo-controlled trial was carried out with blinded participants and examiners. We recruited 100 volunteers aged 40 to 80 years with knee OA. Participants were allocated into five groups: exercise, exercise + placebo, exercise + ICT, exercise + SDT, and exercise + PHOTO. The outcome measures included Western Ontario and McMaster Universities (WOMAC), numerical rating pain scale (NRPS), pressure pain threshold (PPT), self-perceived fatigue and sit-to-stand test (STST), which were evaluated before and after 24 treatment sessions at a frequency of three sessions per week. Results In all groups, there was a significant improvement (p < 0.05) in all variables over time, except pressure pain threshold. We observed significant differences (p < 0.05) between the groups for WOMAC function (exercise vs. exercise + placebo, mean difference [MD] = 5.55, 95% confidence interval [CI] = 3.63 to 7.46; exercise vs. exercise + ICT, MD = 3.40, 95% CI = 1.46 to 5.33; exercise vs. exercise + SDT, MD = 4.75, 95% CI = 1.85 to 7.64; exercise vs. exercise + PHOTO, MD = 5.45, 95% CI = 3.12 to 7.77) and WOMAC pain, with better scores achieved by the exercise group. However, these differences were not clinically relevant when considering the minimum clinically important difference. Conclusion The addition of ICT, SDT or PHOTO into an exercise program for individuals with knee OA is not superior to exercise performed in isolation in terms of clinical benefit. clinicaltrials.gov: NCT02636764, registered on March 29, 2014.