The baseball legend has been dating the 48-year-old beauty since February this year and Alex has revealed he can't wait to work out with Jennifer at his new UFC Gym in Miami, Florida.
Alex, 42 - who has just opened the first in a line of gyms he is building in the state - said: ''Jennifer and I work out together, and I can't wait to bring her here to my new gym.''
Despite being a former professional athlete, Alex revealed Jennifer is able to keep pace with him when they workout together.
And he hailed his chart-topping girlfriend's fitness levels, pointing out she was a ''track star in school''.
He told PEOPLE: ''She is a great jock, a former track star in school, and I enjoy working out with her.''
In particular, Alex revealed that he and Jennifer enjoy lifting weights and cycling together.
The retired athlete, who is also known as A-Rod, shared: ''Jennifer and I mix it up.
''We like to lift, and we enjoy bike riding. She is a talented jock.''
Meanwhile, Alex recently said dating the 'Love Don't Cost A Thing' hitmaker is ''humbling'', because he's often confused for her security guard.
Alex said the confusion allows him to go out with Jennifer without being bothered by paparazzi.
He shared: ''This is one of the most humbling experiences of my life. When I was with the Yankees, and we won the world championship, and you wear the pinstripes, you think you're pretty cool. But then, you hang out with Jennifer, and they confuse me with the security guard all the time!
''We were at the Met Ball, and the paparazzi were screaming at me, not even in English, 'Get the hell out of the way, get out of the way! We're trying to take a picture!'''
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