Burning pain is often related to nerve problems. However, there are many other possible causes. Injuries, infections, and autoimmune disorders have the potential to trigger nerve pain, and in some cases cause nerve damage.
A person may feel a burning sensation in certain muscles when lifting weights or doing other strenuous exercises. This is typically due to the release of lactic acid. A person may also feel this when they try a new exercise or start exercising more often. The soreness and burning sensation may be delayed.