Animals exercise, when going outside (4)
I believe the answer is:
apes
'animals' is the definition.
(ape is a kind of animal)
'exercise when going outside' is the wordplay.
'exercise' becomes 'pe' (Physical Education).
'when' becomes 'as' ().
'going outside' means one lot of letters goes inside another (the word goes on the outside of inserted letters).
'pe' placed within 'as' is 'APES'.
(Other definitions for apes that I've seen before include "Copies the primates?" , "Mimics like primates" , "Imitates like primates" , "Large primates" , "Imitates in every aspect" .)