The most common and most likely answer to this crossword clue is the 5 letter word TRAIN
I've seen this crossword clue in The Times
T
R
A
I
N
More clues leading to the result TRAIN
- Exercise time, then shower
- School transport
- Exercise self-control lacking in others
- Expressive subject rejected in school
- Tons come down to exercise
- Retinue try very hard without leader
- Do exercises in school
- Interest in people that have not gone off the rails
- Work out zero in school
- Can touring artist work out
Buddy explains!

The straight part
We know that "to exercise" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case to exercise = train.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does TRAIN mean?
TRAIN noun- Elongated portion.
- Connected sequence of people or things.
- To practice an ability.
- To teach and form (someone) by practice; to educate (someone).
- To improve one's fitness.
- To proceed in sequence.
- To move (a gun) laterally so that it points in a different direction.
- To encourage (a plant or branch) to grow in a particular direction or shape, usually by pruning and bending.
- To trace (a lode or any mineral appearance) to its head.
- To create a trainer for; to apply cheats to (a game).
- To draw along; to trail; to drag.
- To draw by persuasion, artifice, or the like; to attract by stratagem; to entice; to allure.
- Treachery; deceit.
- A trick or stratagem.
- A trap for animals; a snare.
- A lure; a decoy.