In a new CoverGirl ad, trainer Massy Arias sprints, throws balls and benches weights—but not before first swiping on some mascara. At the end, she asks: “What? You don’t wear makeup to work?”

Women are hearing it’s not enough to hit the gym: You’ve got to look good doing it — a response to pressure to always look picture perfect in an age of selfies and social media.

Makeup...