Knee pain is often caused or contributed to by the alignment of the whole of the lower limb. Squats are a great exercise for alignment as well as overall strength.

Make sure you’ve watched this video to master the mini squat first, before attempting this one:
20 – Lower Limb Alignment: Mini Squat

When you can squat with perfect technique and no pain, you can move onto:
23 – Lower Limb Alignment: Split Squat and Lunge
and
24 – Lower Limb Alignment: Advanced Split Squat and Lunge