How do I recover an exercise app I deleted?

If it is really an app, you should be able to download it:

Redownload apps and games from Apple - Apple Support

If it is a particular workout, you would have too restore your watch from a backup that had that workout:

Restore Apple Watch from a backup - Apple Support

Be aware that restore is an all or nothing process. You can not only restore a workout and any information between now and when the backup was created will be lost.

Go to the App Store and download it again.