Wozniacki's dedication to the gym inspired McIlroy, and now he's taken it to another level, which sometimes annoys the former top-ranked tennis player.
"Even in my offseason, I'm like, 'Can you just rest for a second?' I don't want to see the gym. I don't want to hear about the gym. I don't want to go run. I just want to relax," she said.
"He's like, 'No, but let's just go to the gym.' But it's good fun. It's great that we can motivate each other. It's great that we can do so many things together."
McIlroy, whose game has suffered lately, doesn't like talking about their relationship, although he recently addressed rumors of a split, saying, "Everything on that front is great."
Wozniacki provided a glimpse into their private life, saying she accompanies McIlroy to the practice range, where she has her own pile of balls to hit.
"It goes well for a while," she said. "Then once it starts going downhill, I take a little break and watch him hit some balls. I think, 'That looks easy.' I take a water and then I go back at it, and then I need a few pointers from his coach or caddie. It's a frustrating game, but I really enjoy it."
McIlroy had to build up his endurance because at first he couldn't keep up with Wozniacki, ranked 10th in the world. She will play No. 1-ranked Victoria Azarenka in a quarterfinal match Thursday at the BNP Paribas Open.
The first time the couple tried running together in Monaco, Wozniacki suggested a 25-minute jog capped by a run to the nearby gym.
"It was quite hot out there. After 15 minutes, I could really see he was struggling out there," she said. "He didn't make it."
Now, he can keep up with her and the couple plans to run every day next week when they reunite in Miami.
"I still like to give him that story once in a while," she said, smiling.