Sports bras are an essential apparel for active women, but may exert excessive pressure that negatively affects thermoregulation, thermal comfort and wear sensation. This study measures skin temperature changes during short durations of exercise on a treadmill with different bra pressures. The results based on 21 female subjects (age: 27.2 ± 4.5 years old) show that bras with more pressure at the underband or shoulder straps do not cause statistically significant skin temperature changes during exercise (p > 0.05). Nevertheless, compared to the optimal bra fit, significant differences in bra-breast skin temperature are found during running, cooling down and sitting when the bra pressure is increased (p < 0.05), particularly under bra cup (T1) in this study. The FLIR thermal images can visualize the skin temperature changes at abdomen throughout the four activity stages. Subjective sensations of bra thermal comfort, pressure and breast support are assessed. Despite the increased pressure on the shoulders and chest wall, perceptions towards thermal comfort remain unchanged. The perceived pressure comfort and support sensation amongst the 4 bra conditions are comparable. Interestingly, positive sensations of pressure comfort and breast support are perceived with a tight-fitting sports bra during treadmill exercise. High pressures induced by sports bras (>4 kPa) that habitually considered harmful to the human body may not lead to wear discomfort but enhance bra support sensation and a sense of security to the wearers.