The 52-year-old taught a short dance lesson to a handful of Hard Candy members at the event.
The name is taken from her eleventh studio album, which topped the charts around the world in 2008.
“It’s a sexy name that gives you the opportunity to have fun and to build strength as far as the imagination will allow,” she said.
The star, who is hoping to open a chain of gyms, said she chose to Mexico City for the first one because she likes the energy of the people.
“Our plan is to use Mexico as a place to fine-tune our brand and then expand it to other countries,” added the star.
Madonna’s love for exercise has been well-documented over the years.
It is thought she works out every day and follows a carefully controlled diet.
Membership costs 2 000 pesos (£103) a month with a one-time joining fee of 10 400 pesos (£534), which includes the first two months of membership.
Chris Dedicik, who helped Madonna create the gym, said the star was very hands-on when designing the concept.
“She chose the graphics, colours, the machines. She has weighed in on the choreography of all the classes and given them a twist to make them more dynamic, more special and to better reflect her style,” he said.
“If any of you have seen my shows, you know that I don’t skimp on them and the same is true for the gym,” Madonna said.
“We spend what it takes to make a globally first-class gym.”— BBCOnline.