When you exercise, your body releases chemicals called endorphins. These endorphins interact with the receptors in your brain that reduce your perception of pain. Endorphins also trigger a positive feeling in the body, similar to that of morphine.
Endorphins are only one of many neurotransmitters released when you exercise. Physical activity also stimulates the release of dopamine, norepinephrine, and serotonin. These brain chemicals play an important part in regulating your mood.
