'go exercise' is correct and it can be used in written English.
You can use it when you want to suggest to someone to do physical exercise. For example: "It is a beautiful day outside. Why don't you go exercise in the park?".
"It's for seniors to whom the doctor says, you've got a problem, now go exercise.
Wherever you go, exercise caution at night, as robberies do occur.
"Now if we have other plans he says, 'Ah, now I can't go exercise.' He gets real excited about it".
JOHN KERRY In Hampton On Tuesday you get to go exercise what is not just a privilege, but it's a responsibility, because the whole world, literally the whole world, is looking to you for leadership.
"Driving makes you more independent so you can get out of the house more to socialize, visit your doctor more often, go exercise, or simply enjoy the outside," says Dr. Anthony Zizza, a gerontologist with Harvard-affiliated Beth Israel Deaconess Medical Center.
Andre Braugher is another of the friends, Owen, a father of three young children, whose morning starts with one of his kids dressed in a Hulk costume shooting foam balls at him and telling him, "Mommy said to get up 'cause you gotta go exercise".
"Sometimes I'll come by and say, Let's go exercising, let's go lift weights," Mr. Howard said.
"It's challenging going from exercise to exercise". Herrera, 13, attended the clinic specifically to improve his fielding.
Yes it is even harder to go and exercise while in a bad mood but challenging yourself to go and exercise helps Eat healthy and enough food.
"It was either come here or go to exercise class," one elderly woman said.
I'd add that if you want to lose weight fast, go vegan, exercise, and avoid sugary snacks.
