I just tried searching this on google, but didn't find any answer.
I've been reading a lot of Victorian-era novels, and in every one that features upper-class types it frequently mentions them going out to dine over multi-course meals of fatty and exotic meats, and consuming lots of alcohol. Then in the mornings it talks about their breakfasts of omelets and such, and then they lunch together at some restaurant somewhere.
It just seems to me that if this is accurate of the lifestyles of upper-class Victorians, then they would be consuming a hell of a load of calories - and they never mention any form of exercise. Obviously, the obesity rate of Victorian-era Britain was, like, non-existent, so how did they keep thin with those kinds of diets? Did they just have super small portions?
It may be worth mentioning that most people weren't terribly thin, the average waist size on a corset from the period is 30", which is a size someone with a ~35" natural waist could wear comfortably.
There was also a lot of diet advice flying around for girls. Food was associated with sexuality so a thin woman was considered a pure woman. The preferred method of dieting was simply fasting for long periods of time or drastically cutting portions. This book has a lot of information about the disparity between women in novels and actual Victorian women, in terms of body types. There's also some information in there about the fetishization of long-term fasting girls, what we would now call anorexia.
Somebody else mentioned gymnasiums rising at this period, and at the later part of the period it was becoming more common for women to play sports. This blog cites an Edwardian source rather than Victorian that explains the way the attitude towards women's exercise changed in the 19th century:
"Vivid pictures of the hunting-field, the banks of the salmon river, the croquet lawn and the golf links, show the love of the nineteenth century maid and matron for the healthy out-door exercise, which has given to the younger generation a physique that would have been regarded with wondering awe, not unmixed with disapproval, by their gentle and delicate great-grandmothers.”
Finally, it's about the middle class and not the upper class who you're reading about in novels, but this article explains that the average Victorian ate better than most people now. Their diets were higher in both calories, fiber, and nutrients, lower in salt, and their lifestyles were more active.
If we're talking about the upper classes then riding and fox hunting were probably the most popular physical activities. Cricket would also have been an acceptable summer sport.