The aim of this investigation was to study in healthy women the effect of a moderately intensive physical exercise session on the pressure pain thresholds of tendon, bone and muscle. Twenty-four healthy women in the 7-14th day of the menstruation cycle took part in a 60-min exercise class. Pressure pain thresholds were measured by electronic algometer at four points before and after the class. Habitual exercise habits and perceived class exercise intensity were recorded. There was no change in pressure pain sensitivity at any site. Increased pressure pain thresholds tended to be linked to older age and later day in the follicular phase of the menstrual cycle. In conclusion, a single session of moderate exercise in an exercise setting outside the healthcare system or the laboratory did not increase pressure pain thresholds at group level in healthy women.