About 300 people have taken part in a protest in Cardiff, calling for gyms to be able to reopen sooner.
The reopening date has already been changed from 10 May to 3 May, but protesters want them to open on Monday.
They said Wales faced a "wave" of problems with mental health and obesity as a result of gyms and leisure centres being shut.
The Welsh government has said throughout the pandemic that it follows scientific advice on easing lockdown.
A drop in Covid cases prompted the changes, the Welsh government said.
Opposition parties welcomed the reopening of gyms being brought forward to 3 May, but the Welsh Conservatives and Plaid Cymru called for gyms to be reopened even sooner.
The Welsh Liberal Democrats said it was important that people kept sticking to the rules.
Stephen Cull, who owns Mean Muscle Gym, said: "We've had enough now. The goal is to try and overturn the government's decision and get gyms deemed an essential business.
"A lot of people are struggling mentally, a lot of people have gained weight unnecessarily."
Jess Baker added: "There's a lot of things opening up now that we see aren't as important as gyms.
"They're monitored, they're ventilated, everything's clean... I don't see a reason that we can't be open now."
Gym owners had criticised the Welsh government's decision to delay the reopening of gyms during the latest lockdown roadmap announcement.
Campaigners have said excess weight was one of the few preventable risk factors for Covid-19, and want people to be able to visit leisure centres and gyms from 12 April, when non-essential retail and beauty salons can open.
Plaid Cymru leader Adam Price said: "Plaid Cymru has been pressing the case for gyms to reopen as quickly and as safely as is possible because they are crucial for people's mental health and well-being. This new date, whilst welcome, is still not early enough."
Andrew RT Davies, the Senedd leader of the Welsh Conservatives, said: "Pressure from the public and Welsh Conservatives have forced Labour ministers to act, but there is still more they can do in accelerating the roadmap with the safe resumption of activities such as outdoor hospitality and gyms."
Jane Dodds, leader of the Welsh Liberal Democrats, said: "Gyms and fitness centres play an important part in both the physical and mental health of so many people across Wales. Everyone who has abided by the rules has played a part in bringing this announcement forward."