Exercise is a type of physical activity where movements are planned, structured and repeated. Examples of exercise include weight lifting, walking on a treadmill or using a stair machine. People who exercise do it to improve or maintain their level of physical fitness.
Physical activity is any body movement of skeletal muscles (i.e., muscles that attach to bones) that uses energy.
Physical fitness describes how able you are to do a type of physical activity. You can measure your physical fitness with cardio-respiratory (heart and lung) tests or with strength and flexibility tests.
Sport is planned physical activity that follows a set of rules and is competitive.