Yes. Under Internal Revenue Code Sec. 132(j), employees may be given access to and may use certain on-premises athletic facilities without the value of that use being treated as wages subject to federal income tax, federal income tax withholding, FICA and FUTA.

Athletic-facility benefits generally include a pool, tennis court, golf course, health club, yoga and other physical fitness instructors, or similar facilities. The use of these facilities by employees is tax-free, as long as the following three conditions are met:

1. The facility must be on the employer's premises (although not necessarily the same place where the employee provides services);
2. The facility must be operated by the employer; and
3. Substantially all of the use of the facility must be by employees, former employees, and their spouses and dependents.

The exclusion from employment taxes does not apply if the athletic facility is available to the general public through the sale of memberships or rental of the facilities, such as when the facility is part of a resort used by guests or residents of the resort or when an employer merely pays the membership fees of employees who join a health or country club. Such benefits would be treated as additional wages and would be subject to employment taxes.

Source:  Aspen Payroll Answer Book, Chapter 9.