"My health is pretty good."
Hmm I am not too sure how to explain this but I'll give it a go.
In general, using 健康 for health is a pretty safe bet, e.g. 身心健康 (mental and physical health)，健康是财富 (health is wealth). It also refers to other sorts of health, such as financial health: 健康身体，健康财富，健康幸福，健康一生, for example.
Here, 身体 refers to personal health, specifically, your health (as an individual).
身体健康 = the body is healthy, you can wish someone this：祝你身体健康
健康（的）身体 = a healthy body
Further discussion and corrections are, as ever, welcomed.
Since we're on the topic of exercising, here's an extra (language) exercise you can do: http://language.chinadaily.com.cn/2018-04/17/content_36013190.htm
It is an article about health with one line in English and another in Chinese, so you just need to find out the pronunciation (to start with). Perhaps this will cause you to come to a greater understanding than reading many comments and repeating exercises will. Happy exercising~