In the united states there are references from Ben Franklin back in the mid 1700s in his journal about exercising for health. So, at least 250 years ago.

Seeking out a few quick sources, a number of letters he sent in the 1770s and 1780s references his exercise habits, or lack there of (by then he was getting quite old).

Example:

"It is a long time since I have had the Pleasure of a Line from you; indeed I have not deserv’d it; for I am a Debtor on Account of several of your Favours that remain unanswer’d. The Truth is, I have too much Writing to do. It confines me so much, that I can scarcely find time for sufficient Bodily Exercise to keep me in Health. Hence I grow more and more averse to Writing; and sometimes almost wish I had never learnt to write." Franklin letter to Joshua Babcock London, Feb. 26. 1770

hosted at http://franklinpapers.org/franklin/framedVolumes.jsp?vol=17&page=078a

This archive allows for text searches and I found a half dozen good examples, but all from the 1770s and 1780s.