Knee osteoarthritis (OA) accounts for approximately 85% of the burden of OA worldwide. Knee OA is a whole joint disorder involving structural alterations in the hyaline articular cartilage, subchondral bone, ligaments, capsule, synovium, and periarticular muscles. The complex knee OA pathogenesis includes mechanical, inflammatory, and metabolic factors, eventually leading to the synovial joint’s structural destruction and failure. This review aims to present an overview of current knowledge on dietary supplements, such as glucosamine, chondroitin, methylsulfonylmethane, diacerein, avocado-soybean unsaponifiables, curcuminoids, as well as boswellic acids. Results originating from several small studies with natural products in managing knee OA are encouraging. However, additional well-designed placebo-controlled clinical trials are required.