Hy.
I just went checking and there is a gym in Hawaylat Mall area which is open for women from 7 a.m. to 11 a.m. It is in the recreation center directly opposite to the Mall, face to face with the part of the mall where there is the Apple's Bees (or how it is written).
They have aerobics I think from 9 to 10 ( I don't know Arabic so I couldn't get it clear). There is a big room for basketball and tennis. There is also around 8 tables for biliard in; a small coffee shop inside; and the others stuff which are usually in a gym. They also have a special place for kids with women that will supervise the kids while you are making sport and lot of toys for them.
Anyway they remind me that when I will come to make sport my t-shirt will have to be longer then the usually (covering your hips). Also they will take your mobiles when you enter so a camera is not allowed inside.
The price is 10 riyals for adults and 5 for one kid per day; 600 riyals for adults and 500 riyals for one kid per 6 months; or 1000 riyals for adults and 800 for a kid per 1 year.
There is also in Fanateer area a gym for women but they said is much smaller and I don't know anything about it.
I will be going to the one from Hawaylat Mall soon so if anyone here goes too or wants more info, please, let me know. We may meet there.