It's true that many people either gain a little weight or don't see any change on the scale for as long as 4-6 weeks after making a significant change in their level of exercise. This is often explained as "gaining muscle while losing fat" but that isn't quite accurate. This extra weight is usually water.
When you start doing more exercise, your body begins storing more fuel in your muscle cells, where it can be used easily and quickly to fuel your workouts. The process of converting glucose (carbohydrates) into fuel that your muscles actually store and use (glycogen) requires three molecules of water for every molecule of glucose. As your muscles are building up glycogen stores, your body has to retain extra water for this purpose. That's what causes most of the initial weight gain or lack of weight loss. This is a good thing--not something to worry about.
However, despite what the scale says, you are actually burning fat during this time. The extra water retention will stop once your body has adjusted to its new activity level. At that point, the scale should start moving down. You'll end up with less fat, and muscles that can handle a larger amount of work.
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