When people start a new sport or exercise program, they are usually advised to check with their doctor to make sure they're in good physical condition. You should do the same for your dog if you're planning to get her started in one of the many dog sports or even if you just want a canine jogging or bicycling companion.
Your veterinarian can evaluate your dog's cardiovascular fitness, make sure she doesn't have any vision problems, test her range of motion, and X-ray her hips and elbows to make sure they're not dysplastic. She can also advise you on whether the activity you've chosen is suited to your dog. Not all of us are cut out to be athletic superstars, and the same is true of our dogs. Your dog might be overweight or just not built right for a particular sport.
It doesn't have to stop you from getting active together, though. Just because your pug isn't suited to jogging doesn't mean she won't excel in the more leisurely sport of tracking. Basset hounds, bull-mastiffs, and many other breeds aren't well suited to agility trials, but they can still compete as long as you take precautions and run them only on courses that don't have so many of the tight twists and turns beloved of some agility judges.