There's some debate about this on another thread, but my trainer has always told me that your muscles retain water and swell after exercise, so you weigh heavier, so that may make you feel heavier. Your swollen muscles might make your fat feel a bit squishier!!! I know i sometimes feel like that.
The other thing I find is that as you exercise, you become more aware and in touch with your body, and psychologically you might feel a bit fatter because you are more aware of your body and its current state and limitations. The plus side is that as you exercise and lose weight, you will start to see the changes and feel better within your body. I am sure I am much more aware of the changes since I have been exercising regularly. Nothing like lifting weights in front of a massive mirror in the gym to highlight the changes in your body!!!
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