Elizabeth Poblete, 22, did not know she was pregnant, and called for a doctor when she felt unwell a week ago while hoisting weights in the gym in Sao Paulo, where she lives.
She then gave birth to a premature baby, who was doing well and whom she named Eric Jose after she got over her shock, according to a report on the news website Globo.com.
Both mother and son were taken to hospital.
Horacio Reis, the head weight trainer in the gym, said: "It was a surprise for me. A week ago I acted as a judge in a competition in Chile and this girl was competing.
"All went well and she won the competition.
"I could see she was a big girl, round and strong. That's all I noticed."
Doctors calculated that Miss Poblete must have been six months pregnant. The training and diet observed by female weightlifters can cause irregular menstruation.
Miss Poblete competed for her country in the Beijing Olympics last year. She had been seeking to beef up her body to move from the 75-kilo category to 85 kilos over the past few months.