“We are not going to tolerate this,” Saudi sports authority chief Turki al-Sheikh tweeted as he ordered that the centre’s license be withdrawn.
The video, which was widely circulated on social media but could not be independently verified by AFP, showed a woman with uncovered hair in what appeared to be a gym and kicking a punching bag.
The General Sports Authority said the video contained scenes that could corrupt public morals.
Saud al-Qahtani, a media adviser to the royal court, lauded the sports authority’s swift response, saying on Twitter that the kingdom was on the path of “moderation without moral breakdown”.
Women are required to wear body-shrouding abaya robes and also cover their hair in public in parts of the ultra-conservative kingdom, which has some of the world’s toughest restrictions on women.
Last July, police questioned a woman after she appeared in a series of videos, initially posted to Snapchat, wearing a crop top and a high-waisted miniskirt.
She had been filmed walking through the historic fort of Ushaiqer, north of Riyadh, and playing with sand in the dunes. She was later released without charge.
Saudi Arabia, in the midst of a far-reaching liberalisation drive, will allow women to drive from June and recently permitted them to enter sports stadiums for the first time.
The government is also seeking to jump-start women’s sports and is moving toward compulsory physical education classes for girls, after a ban was lifted in 2014.