Common Misconception: No Pain, No Gain. Pain is your body’s way of letting you know something is wrong. Do not ignore this. When you go beyond exercise and testing yourself, you will encounter physical discomfort and need to overcome it. It is normal for you to hurt after you exercise, but it must be done gradually with a good amount of rest periods to allow proper healing. There are two common problems here with beginning exercisers. You can cause long-lasting damage to muscles, tendons, and ligaments if you work out while you are in pain, without allowing enough rest time to heal.