It’s fairly well known that we respond to exercise with the release of endorphins, but there are other substances like endogenous opiates that have a mild pain relieving effect.
Another reason is blood flow. During exercise blood is shunted away from our internal organs so that muscles get a higher percentage of the body’s blood. So it may seem a little counterintuitive, but our heart rate increases so drastically that you increase the total amount of blood flowing through the brain. This allows us clean out the waste products in the brain and feel better.
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