I go to the gym four times a week.
'Palestra' = pa-LE-stra, stress on second syllable. 'Settimana' = set-ti-MA-na.
Use this as a general fitness hobby statement. It is extremely common in Italian conversation, especially among working-age adults. Following up with what you do at the gym (weights, classes, swimming) makes it more personal.
The gym is central to modern Italian leisure. 'Andare in palestra' uses 'in' (no article) — contrast with 'andare al cinema' (with article). This is because 'palestra' is treated like an institution: andare in palestra, in ospedale, in banca.
Faccio pesi e cardio.
I do weights and cardio.
Specifies the type of training
Frequento corsi di pilates.
I attend pilates classes.
'Frequentare' (to attend regularly) is used for classes and courses
Mi sono iscritto/a in palestra da poco.
I recently joined a gym.
New gym membership — beginning of the habit
Italian gym culture underwent a transformation in the 2010s from traditional bodybuilding palestre to modern fitness centres with diverse class offerings. The number of gym memberships in Italy doubled between 2010 and 2020. Italians tend to approach fitness socially — gym buddies ('compagni di allenamento') are important.