Exercise might lead to a release of endogenous opioids, potentially resulting in pain relief. However, the neurobiological underpinnings of this effect remain unclear. Using a pharmacological within-subject fMRI study with the opioid antagonist naloxone and different levels of aerobic exercise and pain we investigated exercise-induced hypoalgesia (N = 39, 21 female). Overall, high-intensity aerobic exercise did not reduce pain as compared to low-intensity aerobic exercise. Accordingly, we observed no significant changes in the descending pain modulatory system. The mu-opioid antagonist naloxone significantly increased overall pain ratings but showed no interaction with exercise intensity. An exploratory analysis suggested an influence of fitness level (as indicated by the functional threshold power) and sex where males showed greater hypoalgesia after high-intensity exercise with increasing fitness levels. This effect was attenuated by naloxone and mirrored by fMRI signal changes in the medial frontal cortex, where activation also varied with fitness level and sex, and was reversed by naloxone. These results indicate that different aerobic exercise intensities have no differential effect on pain in a mixed population sample, but individual factors such as fitness level and sex might play a role. The current study underscores the need for personalised exercise interventions to enhance pain relief in healthy as well as chronic pain populations taking into account the sex and fitness status as well as the necessity to further investigate the opioidergic involvement in exercise-induced pain modulation.