A good gym bag has a bit of give to it when you pick it up by the handles, not floppy, not stiff, just enough structure that it stands up on a changing room bench instead of folding over and spilling trainers onto the floor. You want the zip to run smooth in one pull, no snagging halfway, and the fabric to have a slight coating to it, something that will shrug off a wet swimsuit or a leaky shampoo bottle without soaking through to whatever else is in there.
In an ordinary week this thing ends up doing more than gym duty, which is worth thinking about before you pick one. It carries a change of clothes to work on the days you go straight from the office to a class, it gets used as an overnight bag for a one night stay because it is already the right size and you cannot be bothered digging out anything else, and if it has a separate shoe compartment that zips off from the main bit, that becomes the place you shove a wet umbrella or a leaking lunch box without a second thought. The ones with a single long strap sit better across the body on a bus, the ones with two short handles are better if you are mostly carrying it from a locker to a studio and back. Neither is wrong, it depends how far you are walking with it.
Colour wise, go duller than feels exciting in the shop. Black, navy, a deep olive or grey will survive a chlorine splash, a mud patch from the bottom of a kit bag you dumped it next to, and the general grime of being set down on changing room floors, without looking tired after a month. A pale bag looks lovely for exactly one wear and then you are scrubbing at a grey smear near the zip with a baby wipe on your lunch break, which I have done, badly, in an actual work toilet.
If you are starting from nothing, go for one with a separate ventilated section for shoes or wet kit, a strap with some padding so it does not dig in on a longer walk, and a shape that is structured enough to hold itself up but soft enough to squash flat for storage when you are not using it, because most of us do not have a dedicated cupboard for gym things, we have a hook and hope. That combination covers gym, pool, weekend bag and the occasional overnight dash, and it will quietly see you through all of them without ever feeling like the wrong bag for the day.
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