Objective: To identify contextual factors that modify the treatment effect of the ‘Good Life with osteoArthritis in Denmark’ (GLAD) exercise and education programme compared to open-label placebo (OLP) on knee pain in individuals with knee osteoarthritis (OA). Methods: Secondary effect modifier analysis of a randomised controlled trial. 206 participants with symptomatic and radiographic knee OA were randomised to either the 8-week GLAD programme (n = 102) or OLP given as 4 intra-articular saline injections over 8 weeks (n = 104). The primary outcome was change from baseline to week 9 in the Knee injury and Osteoarthritis Outcome Score questionnaire (KOOS) pain subscale (range 0 (worst) to 100 (best)). Subgroups were created based on baseline information: BMI, swollen study knee, bilateral radiographic knee OA, sports participation as a young adult, sex, median age, a priori treatment preference, regular use of analgesics (NSAIDs or paracetamol), radiographic disease severity, and presence of constant or intermittent pain. Results: Participants who reported use of analgesics at baseline seem to benefit from the GLAD programme over OLP (subgroup contrast: 10.3 KOOS pain points (95% CI 3.0 to 17.6)). Participants with constant pain at baseline also seem to benefit from GLAD over OLP (subgroup contrast: 10.0 points (95% CI 2.8 to 17.2)). Conclusions: These results imply that patients who take analgesics or report constant knee pain, GLAD seems to yield clinically relevant benefits on knee pain when compared to OLP. The results support a stratified recommendation of GLAD as management of knee OA. Trial registration: ClinicalTrials.gov Identifier: NCT03843931. EudraCT number 2019-000809-71.