Is it bad if I almost vomit when working out?

I joined this new gym... I won't say the name, but let's just say it's pretty darn intense.

We work out super super hard... and in the last few days I've worked out so hard that I've pretty much gagged several times. No vomit has come up... just gagging. Last week it was 3 times, today even at the gym it was 4. I had to run to the bathroom just in case. I gagged while running and I think people saw... oops.

Is that bad? Or can I keep going? I don't know how to make it lower intensity... they already scale it down for me. I guess I'm just that out of shape! Gotta catch up somehow!
Yes, that's bad
No, that's okay
Depends/Other (explain)
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Is it bad if I almost vomit when working out?
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