Osteoarthritis (OA) is one of the main causes of disability worldwide, especially in persons >55 years of age. Currently, controversy remains about the best therapeutic alternative for this disease when evaluated from a cost-effectiveness viewpoint. For Social Security Institutions in developing countries, it is very important to assess what drugs may decrease the subsequent use of medical care resources, considering their adverse events that are known to have a significant increase in medical care costs of patients with OA. Three treatment alternatives were compared: celecoxib (200 mg twice daily), non-selective NSAIDs (naproxen, 500 mg twice daily; diclofenac, 100 mg twice daily; and piroxicam, 20 mg/day) and acetaminophen, 1000 mg twice daily. The aim of this study was to identify the most cost-effective first-choice pharmacological treatment for the control of joint pain secondary to OA in patients treated at the Instituto Mexicano del Seguro Social (IMSS). A cost-effectiveness assessment was carried out. A systematic review of the literature was performed to obtain transition probabilities. In order to evaluate analysis robustness, one-way and probabilistic sensitivity analyses were conducted. Estimations were done for a 6-month period. Treatment demonstrating the best cost-effectiveness results [lowest cost-effectiveness ratio $17.5 pesos/patient ($1.75 USD)] was celecoxib. According to the one-way sensitivity analysis, celecoxib would need to markedly decrease its effectiveness in order for it to not be the optimal treatment option. In the probabilistic analysis, both in the construction of the acceptability curves and in the estimation of net economic benefits, the most cost-effective option was celecoxib. From a Mexican institutional perspective and probably in other Social Security Institutions in similar developing countries, the most cost-effective option for treatment of knee and/or hip OA would be celecoxib.