Not uncommon. Tension headaches tend to get better with exertion, in any case mild by definition so unlikely to be a problem. Some specific exertion-related headaches eg Primary headache with raised cardiac output – pulsating in quality, can last just a few minutes but up to 48 hours! Primary headache with raised venous pressure is related to valsalva manoeuvre eg weight lifting, can last just seconds, rarely more than 30 minutes.
Do MRI, ECG to exclude underlying cause.
Could try more gentle aerobic warm up, NSAID prophylactically, Else triptan/NSAID treatment as required. Beta blockers (esp Non-selective eg propanolol) appear to have some negative effects on aerobic exercise capacity (except when used for treating cardiac failure). They are also banned in competitive sports (due to their use by precision sports athletes eg archery). [Sports Med. 1988 Apr;5(4):209-25. PMID 2897710]