This has to be done in one trip to the gym. The gym is right at the spawn point of the city to the left.
You don't have to do well on any of the tests just complete them and they are:
Sprint
Box
Battle Rope
Treadmill
Dumbbell
Medicine Ball
Leg Press
Clean Weight
Squats
Ladder
Agility Hurdles
Gatorade Reaction
Bench Press