You're asking an interesting question because the names athlete's foot and jock itch are really misnomers. Whoever thought of the names made one too many assumptions when he came out with them.
Exercise in and of itself isn’t going to cause a yeast infection. As a matter of fact, the stress relieving benefits of exercise may even help you to prevent them in the long run. Lifestyle is a major contributing factor in preventing yeast infections, especially systemic infections – and in preventing other types of health complications as well.
The problem with exercise is actually the clothing you’re wearing and what you do after you exercise. Yeast thrives in environments that are warm, moist, and dark. When you exercise, you sweat. Your sweat is trapped against your skin by your often tight workout clothing, creating a moist environment conducive to an infection.
There are several things that you can do to avoid a yeast infection when you work out. There are moisture wicking fabrics, socks, underwear, sports bra's, shirts, etc. that really do help keep you dry. They are antibacterial and antimicrobrial, which should in theory inhibit the growth of yeast from growing on the fungus. To avoid a yeast infection, make sure you shower and change into dry clothing as soon as possible after your workout. After you exercise, the first thing you should do is shower. Some people eat meals, go take a nap, hang out, and only shower in the evening, or even worse, the very next morning. This not only gives you fungus a chance to grow on your skin, but it will spread where you lie down as well. You will not only worry about yeast infection, but bacteria such as Staphylococcus aureus can spread to you, depending on who was using the equipment before you and the type of workouts you do.
It's not just working out that can cause issues, it's your hygienic practices that must be considered as well, especially in the summer. Unless it cannot be helped keep all your areas as dry as possible, and you will not have to worry about exercising being a cause of fungal infections.