Doing sport is a very important part of your Lady's life as it helps her to keep herself healthy and in a good shape.
You have two options for doing sport - outdoor or indoor.
Your Lady could go jogging in the Park or working out in the Gym or in your private Gym at home. It's up to you and your preferences.
Note that to be able to visit the Gym for working out your Lady needs a Fitness card which can be bought from the Market.
Doing sport will decrease your Lady's Weight, Energy and Hygiene and will increase her Thirst and Hunger by different amounts depending on the type of sport and the activity's duration you have chosen.