It is normal to experience a mild burning sensation when you sweat from your face, especially when sweating is profuse. Why does this happen though? The burning sensation often occurs when the body is exposed to a certain level of heat or exercise and vasodilation (blood vessels expanding) begins as a result. Vasodilation is the beginning of the sweating process and it brings heat rich blood to the surface of the skin. This can cause people to feel a burning sensation, especially on the sensitive skin of the face. Once sweat is produced by the sweat glands it brings heat out of the body so that it can be dissipated through the process of evaporation. Sweating works with body temperature to maintain a healthy internal body temperature and prevent the body from overheating. Therefore, feeling a sensation of heat when sweat leaves the body is a normal physical response. However, if you feel a sensation of intense burning or pain it may be an indication of a more complicated condition. Below are several potential reasons why sweat may be causing your face to burn more than is considered to be normal.
Damaged, Irritated, or Dry Skin
One of the most common reasons that sweating may make your face feel as if it is burned is if your facial skin is damaged for some reason. Extreme temperatures, either hot or cold, can cause a burning sensation on the face, especially when accompanied by sweating. The feeling can be likened to dipping your hands in hot water after getting them cold - they tend to tingle and burn and warm blood returns to the area. As sweating brings hot blood to your face it may feel like it is burning when it has been exposed to intense temperatures. If you are in the sun, a sunburn may also become especially irritated when you sweat. Humidity can also make sweating feel worse. Notice your environment when you feel a burning sensation from sweat and see if there is a correlation.
The other most common cause of a burning sensation when sweating is dry skin. The skin of the face is especially prone to becoming dry because it is sensitive and constantly exposed to the environment. This can generally be solved by using a good moisturizer on a regular basis. In some cases, dry skin can become more serious and develop into eczema which is even more irritating. Luckily, eczema can be effectively treated by a doctor to prevent uncomfortable sensations.
There are many other situations that can cause skin irritation which can then lead to a burning sensation that is worsened by sweat. You should consult a dermatologist if you are experiencing excessive skin irritation in order to figure out its cause. One condition, called craniofacial hyperhidrosis, causes excessive sweating of the face and head. It can be irritating if moisture is allowed to constantly sit on the skin. About 3% of the population struggles with primary focal hyperhidrosis, the condition that causes excessive facial sweating to develop. There is no cure for hyperhidrosis, but it can be effectively treated.
Aside from eczema, there are some other dermatological conditions that can cause your face to burn while sweating. One of these conditions is called Rosacea, a chronic skin condition that causes itching, burning, and redness to occur on the face. Sweating can make the symptoms of rosacea worse. There is no cure, but symptoms can be managed by medications and creams. Dermatitis, which is just inflammation of the skin for any reason, can also cause facial sweating to feel worse. There are several potential causes of dermatitis, so consult a doctor if you suspect you have it. Erythromelalgia is another disorder which could account for a burning sensation when sweating. It is a syndrome categorized by skin redness, burning, increased temperature, and discomfort that is worsened by heat and improved by cool temperatures. Most of the time erythromelalgia affects the extremities, but it has been known to affect the face. There are other conditions that can cause these issues so if you believe a dermatological condition is causing your problems you should consult a doctor.
Small Cell Neuropathy
Some recent studies have demonstrated that a condition called small cell neuropathy can cause people to feel a burning sensation on their face when they sweat. Sweating is mediated by neurotransmitters and small nerve fibers, so a disorder that affects those nerve fibers can impact the sensations that sweating causes. Neuropathy is a word used to describe the breakdown or inability of a nerve to function correctly. Essentially, someone with neuropathy will not be able to feel their skin properly and may experience unusual sensations, like burning, as a result. 
Ironically, some people are actually allergic to their own sweat. Most of the time this happens because someone is allergic to a specific byproduct that is produced in their sweat. When someone with a sweat allergy comes into contact with their sweat they typically experience itching, burning, and other allergic responses. It is often observed in people who have atopic dermatitis or cholinergic urticaria - two different types of skin rashes that are often sensitive to heat.
If you are experiencing a burning sensation when you sweat on a regular basis then you should seek medical advice. It can be caused by a myriad of conditions that only a doctor can rule out and, in many cases, it is a treatable situation.
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