The Games room (or the Gym) is in one of the Octopod's pods. It has a volleyball net, some balls and a table-tennis table in it. Usually Kwazii, the Vegimals or Professor Inkling spend their time there playing table-tennis. Captain Barnacles seems to go weightlifting in the games room every morning.
The room kept changing in different episodes, like in the blobfish brothers, there was a piano, a table tennis table, a table with a chess board and 2 bean bag chairs.