to work out in Spanish
Isn´t thereb a more colloquial way to say work out (in a gym) rather than hacer ejercicios in Spanish?

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with a slang way you can say.
Voy a jalar 
Voy a pegarle al Gym
Or just.....
Voy al Gym
This works in Mexico, in fact we use more the word Gym (english) than gimnasio (español) it is rare I know but is true.

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You usually use "entrenar" when you're working out in a particular sport: Judo, swmming, karate, futbol etc, but when people go to the gym just for doing fitness, spinning o that sort of things, people just usually say "me voy al gimnasio".

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I go to the gym myself two or three times a week and we I do I say : Me voy a entrenar al gimnasio.

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Puedes decir.

Básicamente puedes decir:
Estoy ejercitandome

(sea que infieras estar en el gym o corriendo, tomando un paseo etc).

Goodbye.

Answer

Or you could just say "I'm going to the gym": Voy al gimnasio.

And people will understand that you are going to work out.