First of all, you might have been thinking you have to go to a sports club or somewhere and exercise very hard to keep fit.

might 是情态动词 may 的过去式，在这里表示"可能"的推测语气，比 may 更委婉不确定。 have 是助动词，与 been thinking 构成现在完成进行时，表示"一直在想"这个持续的状态。 might have been thinking 这个结构表示"可能一直在想"，强调从过去持续到现在的推测性想法。