Knee pain is a common exercise complaint. The knee is an intricate joint, involving bones, menisci, muscles, tendons, and ligaments all supporting the joint. If there is damage or stress to any of these components, you may have achy knees. Plus, many physical activities can put a lot of strain, impact, or body weight directly on the knees, and in turn, cause pain while you work out. This is common among weekend warriors who work out intensely but inconsistently.