A favorable thermal environment in fitness centers is important to attract more members and is beneficial to the health of exercising people. The purpose of this study was to research the actual thermal environment of a typical fitness center in different seasons and the thermal requirement of exercising people. A field investigation covering winter, spring, and summer was conducted. The environmental parameters were measured. Subjective questionnaires involving individual information, clothing insulation, thermal sensation, etc., were collected. Participants’ heart rates were tested to estimate their metabolic rate (MR). A total of 740 valid questionnaires were collected. The results showed that a scissors gap existed between the predictive mean vote (PMV) and the thermal sensation vote (TSV) for the exercising people. For the higher MR group, there was a separation between the TSV and thermal preference vote, e.g., most participants would not prefer to cooler or warmer thermal environment when they felt hot or cold. The CO2 concentration changed greatly among seasons and the distribution in the fitness center was not uniform. With mechanical ventilation, the CO2 concentration in summer was the lowest. In other seasons it became much higher due to limited natural ventilation. However, subjective response to indoor air quality showed no significant difference among seasons. The participants felt more satisfied to the overall thermal environment in the transition season. The results can be referenced in the thermal environment management in fitness centers during seasonal changes.