Pain, a subjective sensation, poses a great challenge to the human body as a stressor. There is empirical evidence that moderate to intense physical activity increases pain tolerance and this may be critical during pregnancy for optimal pregnancy, fetal development, and delivery. To the best of our knowledge, it is the first study examining the changes in pain perception in pregnant women after a maximal progressive exercise test and after 8 weeks of high-intensity interval training (HIIT). Thirty-five women with uncomplicated singleton pregnancies between 13 and 28 weeks of gestation participated in the study. The HIIT intervention was developed in accordance with the recommendations and available data on HIIT during pregnancy. The maximal progressive cardiopulmonary exercise test was performed on a cycle ergometer with an electronically controlled load. Pressure pain threshold and pressure pain tolerance were measured with an algometer. We found significant effects of the maximal exercise test and high-intensity interval training, such that the pregnant women had higher pain tolerance after the maximal exercise test than before and after the high-intensity interval training than the baseline. Our results suggest that post-exercise analgesia may be important in pregnant women and that high-intensity interval training appears to be beneficial for pregnant women to improve their pain tolerance while being obstetrically safe. Increased pain tolerance before labor could lead to better management of pain during labor and in the postpartum and lactation periods. Increasing pregnant women's awareness of this issue can improve their wellbeing and provide more comfort during labor.