This is an opportunity to share one of my favourite old answers: Did Sokrates even lift?

The answer to your question is Xenophon, Memorabilia 3.12.8. My answer discusses the context of the quote. By itself, it appears to be an endorsement of exercise for the purpose of enhancing one's looks. However, when you read the whole dialogue, you find that this a relatively insignificant and shallow appeal to the listener's vanity. The real reason to train your body, according to Sokrates (or perhaps more accurately, Xenophon), is that it is important for all men of leisure to be ready for war. The defence of the community is the main argument in this dialogue, and Xenophon makes the same point throughout his entire body of work. Plato, too, stressed at length in his Republic that it was essential for citizens to be physically fit for the sake of their inevitable participation in battle. Physical beauty was a relatively immaterial ancillary advantage; it seems most likely that the Greeks in general admired a good balanced physique precisely because it indicated usefulness in war.