We investigated the effect of regular walking exercise prior to knee osteoarthritis (OA) on pain and synovitis in a rat monoiodoacetic acid (MIA)-induced knee OA model. Seventy-one male Wistar rats were divided into three groups: (i) Sedentary + OA, (ii) Exercise + OA, and (iii) Sedentary + Sham groups. The Exercise + OA group underwent a regular treadmill walking exercise at 10 m/min (60 min/day, 5 days/week) for 6 weeks, followed by a 2-mg MIA injection in the right knee. The right knee joint was removed from rats in this group at the end of the 6-week exercise period and at 1 and 6 weeks after the MIA injection. After the 6 weeks of treadmill exercise but before MIA injection, there were no significant differences among the three groups in the pressure pain threshold, whereas at 1 week post-injection, the Exercise + OA group’s pressure pain threshold was significantly higher than that in the Sedentary + OA group, and this difference persisted until the end of the experimental period. The histological changes in articular cartilage and subchondral bone revealed by toluidine blue staining showed no difference between the Sedentary + OA and EX + OA groups. The expression levels of interleukin (IL)-4 and IL-10 mRNA in the infrapatellar fat pad and synovium were significantly increased by the treadmill exercise. Significant reductions in the number of CD68-, CD11c-positive cells and IL-1β mRNA expression and an increase in the number of CD206-positive cells were observed at 1 week after the MIA injection in the Exercise + OA group compared to the Sedentary + OA group. These results suggest that regular walking exercise prior to the development of OA could alleviate joint pain through increases in the expressions of anti-inflammatory cytokines in the rat infrapatellar fat pad and synovium.