Background: The aim of this prospective study was to evaluate the effectiveness of extracorporeal shock wave therapy (ESWT) in normalizing the symptoms and imaging features of primary bone marrow edema syndrome (BMES) of the knee. Methods: This study compared the outcomes of ESWT (Group A) (n = 20) and intravenously applied prostacyclin and bisphosphonate (Group B) (n = 20) in the treatment of BMES of the knee in our department between 2011 and 2013. The Visual Analog Scale for pain (VAS, 100 mm), the Western Ontario and McMaster University Osteoarthritis Index (WOMAC), the SF-36 scores and MRI scans as well as plain radiographs were obtained before and after therapy between two groups. Results: Compared with Group B, we found greater improvement in VAS, the WOMAC Osteoarthritis Index and SF-36 score at 1, 3 and 6 months post-treatment in Group A (P < 0.05). Furthermore, MRI scans showed a higher incidence of distinct reduction and complete regression of bone marrow edema at 6 months in Group A (95 vs. 65 %; P = 0.018). The MRI at 1 year follow-up showed complete regression in all patients in Group A. However, two cases in Group B continued to normalize over the subsequent follow-up period. Conclusions: ESWT can produce rapid pain relief and functional improvement. It may be an effective, reliable, and non-invasive technique for rapid treatment of BMES of the knee.