Cutaneous pain experienced during locomotor training was previously reported to interfere with retention assessed in pain-free conditions. To determine whether this interference reflects consolidation deficits or a difficulty to transfer motor skills acquired in the presence of pain to a pain-free context, this study evaluated the effect of pain induced during both the acquisition and retention phases of locomotor learning. Healthy participants performed a locomotor adaptation task (robotized orthosis perturbing ankle movements during swing) on two consecutive days. Capsaicin cream was applied around participants' ankle on both days for the Pain group, while the Control group was always pain-free. Changes in movement errors caused by the perturbation were measured to assess global motor performance; temporal distribution of errors and electromyographic activity were used to characterize motor strategies. Pain did not interfere with global performance during the acquisition or the retention phases but was associated with a shift in movement error center of gravity to later in the swing phase, suggesting a reduction in anticipatory strategy. Therefore, previously reported retention deficits could be explained by contextual changes between acquisition and retention tests. This difficulty in transferring skills from one context to another could be due to pain-related changes in motor strategy.