It is not uncommon to see people at the gym wearing knee sleeves/braces or weight belts. These are necessary/useful in some scenarios, but are often overused.
First off, pain is our body’s way of alerting us that something is wrong and needs to be looked at. Knee pain with activity (squats, lunges, step ups, etc.) is not normal. This does not mean something is damaged and needs surgery, it may just mean something is tight or stiff and needs help to get moving better. Or it could mean the mechanics with the activity need to be improved. By putting on a knee sleeve/brace, it both covers up the problem and makes the overall problem worse.
Secondly, when wearing a brace on any joint, it tells the muscles surrounding the joint that they don’t have to work as hard to support the area. Over time, the small muscles that help to stabilize the joint start to weaken, thinking they don’t have to work anymore. It becomes a downward spiral very quickly.
What I advise (and do myself) is to wear knee sleeves/braces and/or weight belts when you are going to lift >80% of your known 1 rep max. If you don’t know what your max is, don’t wear braces until you are at a weight that you can’t perform more than 3 repetitions at. This allows your body to learn how to stabilize itself during most activities with a lighter weight and you to at protection when it gets heavy. Before you know it, you will be able to lift heavier weights easier, just because your body learned how to control itself.
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