I recently started adding fish oil supplementation to my paleo diet but I find that every time I take it my stomach starts to burn. Not necessarily an upset stomach just more like general pain. Is this normal when you first begin taking fish oil? I'm not too sure what to make of it or why that would be happening. . .
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Costco sells fish oil in enteric coated capsules. This means they break down until they get to your small intestine (http://en.wikipedia.org/wiki/Enteric_coating). They have a kind of gross vanilla flavor to them, though.
Short answer: it is common to have some stomach issues when first taking fish oil. However, they should subside within the first 5 days. If they don't, then you could change the time that you take fish oil. For instance, if you are now taking it alone on an empty stomach, then you should take it following a meal and vice versa. Fish oil upsets my stomach some if I take it with no food.
If the above does not help, then there is the possibility that the fish oil is rancid. I've found that cheap, non-enteric coated capsules are the worst choice for fish oil if you're going with the pill route. If you are supplementing via capsules, then an easy way to determine if the oil has gone rancid is to break open the pill and taste it. The fish oil should taste fresh and mildly fishy.
I believe this happened to me one night, when I took it before bed. I did not eat anything, and did not drink water. I awoke feeling horrible. I immediately downed a glass of water, and felt better. I have found that, as long as I take it after a meal and with a glass of water, I have no side effects.
Hope this helps.