Treadmill vs outdoors

I am a beginner runner, been running since August outdoors but with the cold weather I wanted to try to run on a treadmill. I did that today and it was awful, it felt like I didn’t even know how to run, I got pain in areas of my legs that I never get pain… I’m so disappointed… silly/beginner question, does this happen to everyone? Is it a thing? Do I need to change my form when I run on a treadmill so I don’t get pain! If so, how efficient it is when preparing for a race if the race is on roads…