The purpose of this study was to investigate whether regular physical activity can alter the pressure pain threshold, pain tolerance, and subjective pain perception in individuals who have experienced a cardiovascular event. The study involved 85 individuals aged 37 to 84 years (M = 65.36) who qualified for outpatient cardiac rehabilitation, which consisted of 24 physical training sessions. The patients were all tested twice: on the first and last day of the outpatient cardiac rehabilitation program. Assessments of the pressure pain threshold and pain tolerance were performed with an algometer. To assess the pain coping strategies, the Pain Coping Strategies Questionnaire (CSQ) and parenting styles were measured retrospectively with subjective survey questions. The main results of the study showed that patients achieved significantly higher pressure pain thresholds after a physical training cycle (ps < 0.05, η2 = 0.05–0.14), but found no differences in the pain tolerance (ps > 0.05). A lower preference for the better pain coping strategy explanation (ß = −0.42, p = 0.013) and growing up in a family with a less neglectful atmosphere (ß = −0.35, p = 0.008) were associated with increased pressure pain threshold after physical training. The results suggest that physical activity is an important factor in modulating the pressure pain threshold.