Osteoarthritis is the most widespread joint-affecting disease. The management of persistent pain remains inadequate and demands new therapeutic strategies. In this study, we explored the pain relieving and protective properties of a single intra-articular (i.a.) injection of khellin loaded in nanovesicles (K-Ves) based on ascorbyl decanoate plus phosphatidylcholine in a rat model of osteoarthritis (OA) induced by monosodium iodoacetate (MIA) treatment. The developed nanovesicles (approximately 136 nm) had a narrow size distribution (PdI 0.26), a good recovery (about 80%) and a worthy encapsulation efficiency (about 70%) with a ζ-potential of about −40 mV. The stability of K-Ves was assessed in simulated synovial fluid. Seven days after the articular damage with MIA, both K-Ves and a suspension of khellin (K, 50 μL) were i.a. injected. K-Ves significantly counteracted MIA-induced hypersensitivity to mechanical noxious (paw pressure test) and non-noxious stimuli (von Frey test) and significantly reduced the postural unbalance related to spontaneous pain (incapacitance test) and the motor alterations (beam balance test) 7 and 14 days after the i.a. injection. K was partially active only on day 7 after the treatment. The histology emphasized the improvement of several morphological factors in MIA plus K-Ves-treated animals. In conclusion, K-Ves could be successfully used for the local treatment of osteoarthritis.