One of the ways to gauge your own exercise intensity while running, is to assess your capability of talking while running: if you can still speak comfortably, you are running within the recommended intensity guidelines. This subjective way of estimating one's exercise intensity by talking (i.e. the Talk Test) motivated us to investigate how speech characteristics are affected during running and whether it is possible to develop a more objective way of estimating exercise intensity levels while running through voice analysis. To this end, we developed the Talk & Run Speech database that contains speech recorded from people before, during, and after running. We present our database and show that it is possible to detect exercise intensity below or above the anaerobic threshold in speech during running with a performance of 73.5% and 60.0% (unweighted average recall) for female and male speakers respectively.