Pain neuroscience education combined with exercise (PNE + exercise) is an effective treatment for patients with chronic spinal pain. Yet, however, little is known about its underlying therapeutic mechanisms. Thus, this study aimed to provide the first insights by performing a novel mediation analysis approach in a published randomized controlled trial in primary care where PNE + exercise was compared with standard physiotherapy. Four mediators (catastrophizing, kinesiophobia, central sensitization-related distress, and pain intensity) measured at postintervention and 3 outcomes (disability, health-related quality of life, and pain medication intake) measured at 6-month follow-up were included into the analysis. The postintervention measure of each outcome was also introduced as a competing candidate mediator in each respective model. In addition, we repeated the analysis by including all pairwise mediator-mediator interactions to allow the effect of each mediator to differ based on the other mediators’ values. Postintervention improvements in disability, medication intake, and health-related quality of life strongly mediated PNE + exercise effects on each of these outcomes at 6-month follow-up, respectively. Reductions in disability and medication intake were also mediated by reductions in kinesiophobia and central sensitization-related distress. Reductions in kinesiophobia also mediated gains in the quality of life. Changes in catastrophizing and pain intensity did not mediate improvements in any outcome. The mediation analyses with mediator-mediator interactions suggested a potential effect modification rather than causal independence among the mediators. The current results, therefore, support the PNE framework to some extent as well as highlight the need for implementing the recent approaches for mediation analysis to accommodate dependencies among the mediators.