1st up, ensure that the bike is fitted right to you, assuming the frame size is right, seatpost length, saddle tilt fore and aft, stretch to the bars and bar height all have an effect, as does crank length if you're a bit more or less leggy than the average. The same saddle can just need a bit of thought, experimentation and tweaking to potentially go from tortuous to armchair with little apparent visual difference.
They are very individual things though and it could be that your bum shape and size doesn't quite get it on with this particular saddle whatever you do.
But yes there is also a 'bedding in' period as with building up cycling strength, back getting used to bending down over road bars, if you change how fast/slow you pedal etc. If you're always pushing the limit there will always be some discomfort somewhere but in general a properly set up bike shouldn't hurt you.