Exercise, having eaten one baked dish (3)
I believe the answer is:
pie
'baked dish' is the definition.
(I've seen this before)
'exercise having eaten one' is the wordplay.
'exercise' becomes 'pe' (Physical Education**).
'having eaten' means one lot of letters goes inside another.
'one' becomes 'i' (Roman numeral).
'pe' enclosing 'i' is 'PIE'.
(Other definitions for pie that I've seen before include "Confused, mixed type" , "Food baked under pastry" , "In the sky, this dish is impractical" , "Small, former Indian coin" , "where blackbirds sang" .)