Exercising is doing physical activity for the main reason of keeping you fit and healthy. Exercising keeps your muscles strong and flexible. If you don't exercise enough, or you eat too much (or both), you can get fat.
You are healthy if you are in a state of good health. Healthy people and animals are in good condition, and are not sick or injured. Healthy food is food that is good for you, and helps you to stay healthy.
Someone is overweight if they weigh more than they should. People or animals are usually overweight because they are too fat.
Sport is a physical activity that requires some skill. Sport might be a solo activity like hunting or fishing, or it might be a team sport like baseball. Sports are usually competitive, and have rules. The aim of most sports is to win.
A treadmill is a machine that lets you run or walk without going anywhere. Most people today use treadmills for exercise indoors. A long time ago, treadmills would have been used to power machinery.
A person or animal is underweight if they weigh less than they should. When you are underweight you can easily see your bones.