An adjustable pillow intended to support a user's knees or legs is provided. The pillow may include a cover sized to fit around a plurality of support pieces, including a front support piece, a back support piece, and one or more middle support pieces. The cover includes an aperture adapted to allow at least a middle support piece to be inserted or removed. The aperture is securable by a zipper or other fastening means. The support pieces may be made of a soft material, such as foam. The middle support pieces may comprise a material that is of greater density and of lower firmness than the front and back support pieces.