Background Previous cross-sectional studies have demonstrated the high prevalence of depression and comorbidity in knee osteoarthritis (KOA), and KOA or its impact on lifestyle was seen as a potential trigger factor of depression and comorbidity. However, the exact onset and progression pattern of depression and comorbidity in KOA was still unknown. Methods Group-based trajectory modeling (GBTM) analysis was conducted in the 2833 subjects selected from the osteoarthritis initiative ( OAI) database. Eight- year trajectories were determined and described. Baseline characteristics were investigated in multi-variable regression to detect the risk factors of the unfavored trajectory. Results Stable trajectory (70.4%) and worsening trajectory (29.6%) were identified in comorbidity. The risk factors for the worsening trajectory membership were the obesity (OR = 1.47 CI = [1.20, 1.79], P < 0.001), older age (OR = 1.74, CI = [1.41, 2.16], P < 0.001), and smoke (OR = 1.30, CI = [1.08, 1.57], P < 0.01) at baseline. Stable trajectory (52.0%), slow-worsening trajectory (40.5%), and fast-worsening trajectory (7.5%) were identified in depression symptoms. The risk factors for the fastworsening trajectory membership were female (OR = 1.51 CI = [1.03, 2.20], P < 0.05), lower income (OR = 1.52, CI = [1.01, 2.27], P < 0.05), and smoke (OR = 1.30, CI = [1.08, 1.57], P < 0.01) at baseline. Conclusion A significant amount of KOA subjects tends to develop depression symptoms and comorbidity. Managing related risk factors, like weight loss or smoking cessation, might have considerable significance in preventing or delaying depression symptoms and comorbidity in KOA.