Do you know what it is about the gym that is triggering them? If you know what it is about the gym that triggers them, you can work on ways to make the situation less anxiety provoking.
When you do have them try to relax your muscles and take long deep breaths, counting your breaths can be quite helpful. Also placing your hand on your stomach and becoming aware of movements as you breathe. Some people find picturing a safe and comforting place helpful. Maybe before you go think about somewhere you would feel safe and picture it in detail in your mind so when you go it's easy to think of. It doesn't have to be a real place.
Saying comforting things to myself in your mind can be useful, like 'I'm doing well' 'I can do this' 'I am physically safe here'
When you start to feel anxious try distracting yourself by counting things in your surroundings, noticing the colours around you.
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