Pilates causes significant pain in hip / lower back?

Might be a question with an obvious answer, but I'd like some input.

I'm into Pilates recently (5 weeks), because it just feels so good and helps a few of my health conditions. But I've been experiencing issues with my hip and lower back ever since I started. The pain is significant, but according to my doctor, it's muscular.

Is this the typical "it gets worse before it gets better" situation, or should I consider to drop it?

Anyone with similar experience?