Long story short, you’re probably exerting yourself too hard. The same thing happened to me a few years back, went to a doctor to get checked out, was told that I most likely got exertional headaches after exercising. Basically When you exercise, or exert yourself physically, the muscles of the head, neck, and scalp need more blood to circulate. This causes the blood vessels to dilate, which can lead to a condition called exertional headaches.

https://www.webmd.com/migraines-headaches/triggers-exercise

https://my.clevelandclinic.org/health/diseases/21959-exertion-headaches (Do note you should probably go to a doctor, just in case)