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When you step onto a treadmill or go out for a jog, an alarming burning sensation in your lungs can cause anxiety. Some people experience the burning sensation during exercise or immediately after a rigorous session. The exercise-induced burn sensation is most common among smokers, ex-smokers and beginners.
If you have lung pain after running and shortness of breath, your body will naturally start working against you and begin gulping air through the mouth, but this can cause temporary inflammation of the lungs.