"I always tell myself [working out is] the one thing I won't regret," Agdal, who was promoting Muscle Milk's Coffee House at their Rise and Grind boxing class, told ET's Jennifer Peros. "Like, you'll always regret that slice of pizza, you'll always regret that glass of wine, [but] you'll never regret a good workout."
When it comes to getting fit, Agdal says she likes to switch it up. "I do so many different things," she explained of her workout routine. "I do Y7 Yoga, I take a lot of Akin's Army classes, soul cycle, boot camps, tone house, SLT, boxing. I do everything."
Agdal said she especially loves boxing because it forces her to tone every muscle.
"When I have a really big shoot," she added, "I start thinking about the calories and how much I'm eating compared to how much I'm working out. I think it's a balance -- you can't go too crazy about it because then it just becomes way too restricted."
Clearly, what she's doing is working. The Denmark native slayed the red carpet at the Sports Illustrated Swimsuit Summer of Swim Fan Festival and Concert in NYC in August, flaunting her sexy figure in a dress that featured two thigh-high slits.
And while she doesn't mind posing for photographers on the red carpet, Agdal confesses she's not a huge fan of being photographed in her bathing suit -- one of the downsides to dating an A-list actor.
Back in May, a source close to the couple revealed that Agdal and DiCaprio, 41, began dating after he invited her to the Cannes Film Festival. Interestingly enough, they were first linked together as far back as February 2014.
"Leo definitely courted Nina in the beginning," the source explained. "She wanted to make sure she wasn't just another one of his models. They're really happy and having a lot of fun together." Hear more in the video below.