The venue has been linked to at least 10 confirmed COVID-19 cases.
Anyone who was there should be tested and isolated immediately until a negative result is received.
A man in his 40s from Newcastle has died at John Hunter Hospital with the virus, NSW Health said.
A man in his 60s from western Sydney also died at the city’s Royal Prince Alfred Hospital.
Both had received their first dose of a vaccine and had “underlying health conditions,” officials said.
A man in his 80s – who was fully vaccinated – from south-west Sydney died at Liverpool Hospital, where he contracted the virus.
There are currently 418 COVID-19 patients admitted to the hospital, with 97 people on intensive care, of whom 43 are on a respirator.
89,875 COVID-19 tests were reported at 6 p.m. 20 last night.
The state has now fully vaccinated 87 percent of the eligible population, while 93.5 have received a single dose.
Only fully vaccinated individuals were able to go to the gym under the current COVID-19 restrictions, with authorities confirming cases that either exercised in the gym while infected or caught the virus in the gym itself.