While the physical correlates of knee osteoarthritis are well documented, less well documented are aspects of psychological functioning that may affect overall health and functional status. This paper describes the findings of a cross-sectional analysis that examined the strength of the relationship between selected psychological factors and the walking ability of adults with knee joint osteoarthritis. The variables assessed were pain, depression, levels of self-efficacy for pain and other-symptoms management, walking endurance, walking speed, and perceived exertion when walking. The sample, including 57 persons with unilateral and 43 persons with bilateral radiographic and symptomatic knee osteoarthritis, mean age, 69.9 ± 1 years, underwent standard assessment procedures on a single test occasion using several validated questionnaires and a series of walking tests on level ground. Bivariate and multiple regression analyses revealed that (a) higher pain and other-symptoms self-efficacy scores were associated with lower levels of pain (r = −0.29, −0.20.), perceived exertion during a walking task (r = −0.29, −0.31), and depression scores (r = −0.46, −0.54) (p < 0.001); (b) subjects with higher levels of self-efficacy for managing symptoms other than pain also recorded faster and fast speed walking velocities than those with lower self-efficacy scores (r = 0.30, 0.31) (p < 0.001); (c) self-efficacy for pain was the strongest predictor of pain intensity, and self-efficacy for symptom management was the strongest predictor of perceived exertion during walking, depression, and pain self-efficacy. Although no cause–effect relationship can be deduced from a cross-sectional analysis, these data imply that efforts to heighten self-efficacy for pain and other-symptoms management may influence the affective status, function, and effort-related perceptions of people with knee osteoarthritis quite significantly.