I'd agree with the other posters that your T suggesting the gym was likely more about self care and self esteem than about your weight. I know that I feel a lot better about my body and myself when I get regular exercise, and there have been many studies showing that exercise is good for mental health.

If you don't want to join a gym, is there any other regular exercise you could do? I did home yoga for a while, just following youtube videos (I really like Yoga with Adriene). Going for walks is easy and relaxing, or maybe running if you're up for something harder.