Learn Russian: Он любит физическую нагрузку, причём она улучшает его самочувствие. - He likes physical exertion, moreover, it improves his well-being.

Причём does more than just link two facts; it adds a significant, related detail that amplifies or builds upon the first clause. While и just means 'and', причём translates closer to 'and what is more', 'moreover', or 'with the added bonus that'. Here, it highlights that the physical exertion is not just something he likes, but it actually has an active positive effect on him.

The word нагрузку usually means 'load' or 'burden'. Why does it mean 'exertion' here?

In Russian, физическая нагрузка is the standard way to say 'physical exertion', 'exercise', or 'physical strain'. While нагрузка literally means a load or weight (from груз), in a medical or fitness context, it refers to the 'load' or effort placed on the body's systems.

Does она in the second clause refer to a female person?

No, она refers back to нагрузка (exertion), which is a feminine noun. In Russian, pronouns must match the grammatical gender of the noun they replace, so 'it improves' translates to она улучшает.

How is the word самочувствие formed, and what exactly does it mean?

Самочувствие is a compound word made from сам (self) and чувство (feeling). It literally translates to 'self-feeling', but it is the standard Russian word for your general state of health, overall well-being, or simply 'how you feel' physically and mentally on a given day.