Hi Young! Good question.
When referring to doing exercise in English, we use "workout." For example, "I am going to the gym today to do a workout" or "I'm doing a cardio workout tomorrow." If you want to say it in its "ing" form, then "I'm working out at the gym" is also correct.
We separate the the two words - work and out (i.e. work out) - when we are referring to something needing to be fixed or sorted out. For example, "there is a scheduling problem, we need to work out a solution."
Hope this helps :)