运动 = exercise,
He loves to exercise 他喜欢~~
An exercise in people power 民主权的~~
健身 = fitness, literally things or activities to promote body health
Body building and getting fit are two different things 健美运动与健身是兩回事
锻炼 = to temper, to forge, to toughen, to develop (one's skills) or to train oneself. This term comes from Chinese alchemy of making exlixirs etc. So you have the gold and fire radical. It is different from 練 to mean practise, exercise, to train in a non physical activity. For example, to study is 練书 and not 炼书!