At the BSME Building
You can take advantage of basketball courts, jogging paths, and street workout available at parks such as the City Park and Margaret Island. In winter, there are also numerous skating rinks around town (with skate rentals available); the largest one is in the City Park.
For further outdoor sports opportunities in Budapest, see this page.
There are numerous fitness centers, swimming pools, and yoga studios around town. Ask the BSME Student Coordinator to find the one that best suits you.