This is a sign that either your not breathing right during your workout or lack of fluids.
Hi,
Headache after a work out or physical activity could be due to an increase in blood pressure. An increased blood pressure is a cause of headache. Exercise headaches can be divided into two categories. Primary exercise headaches, are usually harmless because they aren't connected to any underlying problems and may be simply due to an elevated blood pressure after the workout. Secondary exercise headaches are caused by some underlying, and often serious, problem within the brain such as bleeding or a tumor.
Primary exercise headaches can often be prevented with medication. Secondary exercise headaches can be quite serious and may require emergency medical attention. Please go for MRI of the brain and consult a neurologist to know the underlying cause and take treatment. Hope this helps you. Take care and regards!