From Guns.com:

Perfecting that beach body isn’t always easy, especially if you want to be comfortable and protected at the same time. You don’t have to sacrifice fitness for protection though if you know what to look for. Guns like the Glock 42, Sig P365, and Ruger LCP are all very concealable and pair well with a plethora of holsters designed for workout. Deciding which holster and gun combo that will work for you is as much dependent on the types of movement you plan on doing as it is the caliber you like.