I cut and pasted this from a website. They are talking about a specific exercise program (chaLEAN extreme), but this applies to all exercise.
The motivation to start a new exercise program is almost always to lose weight. However, what most personal trainers know and most at-home exercisers do not, is that a new exercise program often can cause an immediate (and temporary) increase on the scale. (Notice I didn't say weight gain! I'll explain.) This common increase in the scale is also the reason why perhaps millions of people start and then quickly quit their resolution to get fit.
The temporary weight gain explained:
When someone starts a new exercise program, they often experience muscle soreness. The more intense and "unfamiliar" the program, the more intense the muscle soreness. This soreness is most prevalent 24 to 48 hours after each workout. In the first few weeks of a new program, soreness is the body trying to
"protect and defend" the effected or targeted tissue. Exercise physiologists refer to this as delayed-onset muscle soreness, or DOMS.
This type of soreness is thought to be caused by tissue breakdown or microscopic tears in muscle tissue. When this happens the body protects the tissue. The muscle becomes inflamed and slightly swollen with fluid retention. This temporary retention of fluid can result in a 3- to 4-pound weight gain within a few weeks of a new program. Keep in mind that muscle soreness is not necessarily a reflection of how hard you worked. In fact, some people feel no signs of muscle soreness, yet will experience the muscle protection mechanisms of water retention and slight swelling.
Most people are motivated enough to put up with this temporary muscle soreness. Yet, many, especially those who really need immediate weight loss to keep them motivated in those first couple of weeks become discouraged and quit!
When I worked with a group of 70 test participants during the development stages of ChaLEAN Extreme, this happened. Who was the most upset and discouraged? You guessed it... the women! I'm happy to report absolutely for every single woman (and man) in our group, the weight increase was temporary and never lasted more than 2 weeks before they started to see a major drop in the scale. However, these people had the advantage of working with someone who was able to explain to them why this was happening and assure them the weight would come off if they stuck to the nutrition plan and stayed true to the program.
Hope this is helpful. I have certainly found this to be true for myself.