You may not find such health clubs, as you would in the USA, although there is a small one in Ajijic, here at Lake Chapala. In Chapala proper, there is a gym but I don't know any details beyond that. Many Mexican ladies do have aerobic dance sessions, etc. and there are occasional Yoga groups, all depending upon where you locate. You are moving to a different culture; not a carbon copy of the USA. We met some new folks last week, who were expats from living a couple of years in Mazatlan and who had just re-located to Chapala. Their comment was that, even as far north as Mazatlan, "the summer was so oppressive that even getting in a pool didn't help". They had to run very expensive AC in the house, only a few blocks from the ocean, and they said that "the constant noise of the AC was driving them nuts."
We love Mazatlan, but a test visit in June made us realize that we would never survive August and September. As such, we'll stick to living at Lake Chapala and visiting the coastal towns only in the winter. Right now, it is nice there at 82F, but the humidity is 88%., while here in Chapala it is 68F and 70%; much more comfortable and we don't own a furnace or an air conditioner. It makes hiking the mountain trails, or other activity, much more enjoyable.