Shaykh Abdul-Azeez ibn Baaz rahimahullaah was asked the following question:
Q: Regarding exercise with regards to women.
A: (The ruling of) exercise differs, because it is a general term.
If women were to exercise between themselves by doing that which does not contradict the pure legislation – (for example) by plentiful walking, in a place specific to them – where the men do not mix with them, and the men cannot see them; or them swimming in their houses or in schools that are specific to them, where the men cannot see them, and the men are not in contact with them; then there is no harm in this.
As for exercise that results in free-mixing between men and women, or if the men were able to see the women, or if it were to cause evil between the Muslims – then this is not permissible.
There must be this extra detail and clarification (regarding the ruling of women exercising).
So exercise that is specific to the women, and does not contain anything forbidden by the legislation, and does not involve free mixing between the men and the women, if it is in a secluded area, and somewhere far from free-mixing occurring, then there is no harm in this – whether that (exercise) was by walking or swimming and the like of that; and competitions between the women have the same ruling.
[Source: http://www.binbaz.org.sa/mat/11065 ]