Things I've tried.
Joining local sports groups, am told they're full because of too many new members lately.
Working out at the local gym, this was actually how I met my first friend. I probably should go more often but I wanted to try out another gym.
Going to local events, flea markets, etc. I see people I know and greet them, but they're usually already with other people and it's awkward interrupting them. I generally stick around and chat for a few minutes, then I just leave because it's just weird forcing myself into a group.
Work out of a co-working space once a week. Took a bit of time to find the right venue. Most of the places I've been to, people stick to themselves. Finally found one where there's some kind of community.
As an off shoot of the above, I'm looking for a gym near the co-working area so I have less excuses not to go.