Many companies have gyms in their buildings for employees to conveniently work out during lunch or before / after work. While this is your private time, it does not mean that you should wear clothes that look like you are ready to clean your garage. You never know who you will bump into!
In fact, you can use working out as an informal way to network. You don’t have to wear the latest matching workout clothes and shoes (which I find a bit contrived but I do like the fun shoes men are wearing!). Just look clean and smart. Also, make sure the clothing is not too small. I recently saw women wearing leggings that left nothing to the imagination – not an appealing sight.