This study critically examines the reported exercise-induced analgesia effect in view of the potential stress-induced analgesia of pain testing itself. Two designs were used to test whether previous findings of analgesia were induced by the exercise procedures or by the stress of the pain testing procedures themselves used in such experiments. In the first design, post-test cold pressor pain ratings were obtained from college students following exercise (bicycle ergometry) and two control tasks (minimal exercise and non-exercise). No significant differences between these groups were found. In the second design, exercise and non-exercise groups pre-exposed to cold pressor pain testing were compared to groups that were not pre-exposed to pain testing. There were no significant effects for exercise; however, significant analgesia effects for pain test pre-exposure were demonstrated. Therefore previous research claiming exercise-induced analgesia may have confounded the effects of exercise with the effects of pre-exposure to pain testing itself. … http://www.ncbi.nlm.nih.gov/m/pubmed/1589230/
I do feel less pain with regular exercise, so the above study may be overlooking something.