I work = you're a person who has a job. You're not retired, you're not unemployed, etc.
I'm working out = to exercise, like the others mentioned. You're at the gym lifting weights.
I'm working on = not a complete sentence, but would be used to mean that you're working on a specific thing.
James works as an architect. Currently, he's working on a project to build a house.
Jane works as an attorney. Right now, she's working on the contracts for James' house project.
After work, James likes to work out in the gym, and Jane likes to work out at home.