Training means learning to do something. It includes practicing skills. The term is used for learning to do jobs, or play games.
Examples:
Training means changing behavior through learning new requirements and methods. Its effect is measured by testing to see if the behavior has been successfully changed. Follow-up sessions may be repeated until the desired behavior has been achieved.
Exercise may or may not be part of training. When it is, it is called physical training. It is specific and done to improve one's capability, capacity, and performance; see, e.g., strength training or flexibility training.