There are many things in life that we enjoy doing and fitness should be one of them. Yes, it is very important for Christians to exercise. We must always keep the bodies the Lord has given us strong and healthy to glorify him. There are many scriptures illustrating exercising that the Apostle Paul refers to. 

Scriptures

1 Corinthians 9:24-27.

2 Timothy 4:7

2 Timothy 2:5

These scriptures are more aimed at our spiritual journey. While the spiritual aspect of our being is, biblically speaking, more important, we are to neglect neither the spiritual nor physical aspects of our health.

We must glorify God in all that we do.