Officer Kelly Denham of the Coral Gables Police Department confirmed there was a shooting at the gym, but gave no information about casualties.
Those injured in the attack were both airlifted to Jackson Memorial Hospitals' Ryder Trauma Center, the news station reported. Another person was pronounced dead at the scene.
Zabaleta says the location of the shooting was along South Lejeune Road at an address that appears at or near the Shops of Merrick Park, an upscale shopping mall.
Coral Gables police rushed to the scene, shutting down traffic outside the shopping mall and placing nearby businesses on lockdown.
In videos posted on social media shortly after the shots rang out, an automated recording is heard: "Emergency - evacuate or seek shelter".
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Tim Hartog, general manager of Yard House restaurant, said the business was on lockdown. The relaxing outdoor dining areas quickly turned into a fearful scramble to get on the ground and under tables.
Susan Amat tweeted from the restaurant's kitchen: "Pray for safety for everyone at Merrick Park right now - everything is locked down - we're in kitchen of Yard House".
The scene at The Shops at Merrick Park, located at 358 San Lorenzo Avenue in Coral Gables, Florida.
"That's when I saw people running as fast as they could out a service exit to a back alley".
Another witness inside the gym when the shooting occurred said he knew the shooter and described him as "quiet", but "nice guy".