When you experience pain during an exercise then you better stop immediately. It could well be that you are not making the right moves, or already did some damage to your muscles or ligaments. Forget the expression 'no pain, no gain', but rather keep in mind 'when pain hits, call it quits'.
It is said that you need to stretch before exercising, since that could decrease the risk of injury during and sore muscles after the work-out. There are no indicates for that, as studies have shown. Stretching however is already a good exercise by itself and can't hurt. Providing it is done right, of course.
Jogging is an excellent way to increase stamina and promote heart health, but it does put a strain on the joints of your knees. It doesn't matter whether you run outside, or inside on the treadmill, the strain remains the same. Alternating between walking, running, and riding a bike lessens and relieves the strain and impact on your knees.
It is always beneficial to strengthen the body, but it is even more important and helpful to strengthen the soul. Exercising faith and trust in God will never lead to any pain, only to blessings!
Be of good courage, And He shall strengthen your heart, All you who hope in the LORD.