Not sure about gyms over that way but there are some AWESOME restaurants in Squirrel Hill (Pangea, Silk Elephant, Mineo's Pizza, among others... Also be sure to hit up the waterfront sometime). Welcome to the 'Burgh!
Try the Finess Factory on Highland Ave in Shadyside used to train there was good back in the day not sure of the phone number thuogh. Hope it gives ya start not to far from Squirll Hill.