How hard to work when just starting?

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Hello, I have a quick question. I'm not "just" starting, but haven't been heavy into working out. I was doing an at-home workout video with my husband and it would leave me dying. Just dying! I would be begging to quit, couldn't breath, and in serious pain.

Now we've joined a gym and have all those utilities at our fingertips. I work at hard as I can and I can't hit that point that I would hit when I worked at home. I run on the treadmill, do the eliptical, weights, and all the other machines there as hard as I can (within reason) and I sweat like a mad man but can't hit a breaking point. I leave feeling tired, but not sore and not tired/sore the next day.

I don't mean to sound extreme, just helping you see the difference between the beginning when working at home, and now working at the gym for a little while. My honest worry is that I'm not capable of reaching that breaking point at the gym. But is hitting that point really a good thing? Was that "breaking point" a sign of my physical weakness and is that something I should no longer expect to feel?

How has your experience changed within the first consistent month of working? Is it normal to not be able to "max" out? I sweat and burn, but there's no pain and no shortness of breath like I experienced in the beginning. Coming from my inexperience, I just felt that the shortness of breath and the pain was a sign of the work you were putting into the workout. Thoughts?