Despite the fact that Kegels are often recommended as a first line therapy for urinary incontinence, there are actually times when they could make things worse! It's best to know exactly what is going on "down there" before starting in on a course of action that might actually do some harm. A physical therapist or physiotherapist who has special training in pelvic floor rehabilitation will be able to advise you if you should be doing Kegel exercises or not.
This article explains this, and I think is a good reminder not to always try and be our own doctors or therapists!
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