A garden shed, particularly one that has previously only been used for storage, is not usually suitable for the purpose of turning into a garden gym without major works being undertaken.
Garden sheds are rarely thermally insulated; damp proof, structurally suitable, or tall enough to confidently house expensive gym equipment, particularly if the equipment is made of corrodible metals or requires a high roof such as the ‘functional training centres’ that are common in home gyms.
The best way to create a gym for your garden is to create a purpose built cabin that can house your equipment safely and securely.