This article discusses the relationship between gender and the social construction of the body, specifically focusing on physical exercise during leisure time. The Pró-Saúde Project is a prospective study consisting of 4,030 employees of a university in Rio de Janeiro, in which we analyzed the answers on leisure-time physical activity (LTPA) by 3,740 participants. The results show a prevalence of males in LTPA. Age, schooling, and per capita family income were directly associated with exercise among women, as compared to per capita family among men. Men were more frequently involved in group sports and physical activities that required more strength than women, including football, tennis, volleyball, martial arts, jogging, and weight lifting. Women performed more individual physical activities and those demanding less strength, like walking, dance, gymnastics, and hydrogym. The results suggest that LTPA is a domain of daily life that is organized according to certain conventions, amongst which gender-related conceptions concerning the ideal body, where men and women display distinct behaviors in relation to physical exercise.