Osteoarthritis is a degenerative joint disease. The knee and hip joints are the most frequently affected. Treatments fall into three main categories: pharmacological, non-pharmacological, and surgical. Treatments can be applied alone or in combination. In the last few years, within the non-pharmacological category have been a growing importance of physical exercise programs aimed to reduce pain in knee and hip joints. The purpose of this review was to summarize evidence for the effectiveness and structure of exercise programs on pain in patients with hip and knee osteoarthritis. To that end, several databases were searched, retrieving 33 studies that evaluated the influence of different exercise programs on pain. These studies were grouped according to the characteristics of the exercise program: land-based intervention (strength program, Tai Chi, aerobic program), aquatic intervention (hydrotherapy), and mixed exercise programs. The main conclusions drawn were: (i) despite recommendations for the use of exercise programs as pain therapy in patients with hip and knee osteoarthritis, very few randomized clinical studies were conducted; (ii) the structure of the exercise programs (content, duration, frequency and duration of the session) is very heterogeneous; (iii) on overall, exercise programs based on Tai Chi have better results than mixed exercise programs, but without clear differences.