The 24-year-old became the most expensive player in world football after securing an £86m move from Tottenham late in the transfer window.
And he is expected to play some part in Real's La Liga clash at Villarreal on Saturday following the rescheduled run-out which was delayed to accommodate players returning from the international break.
"Bale started the session with some individual physical work and later joined the rest of the outfield players," Real said on their official website.
"The Welshman and the rest of the internationals then worked on moving the ball in various exercises."
Bale took to the field as a 59th-minute substitute for Wales in their 3-0 defeat to Serbia on Tuesday night - his first match action of the season.
It remains to be seen how big a role he will play against Villarreal given that he has hardly trained in pre-season.
His chances of starting the match could be boosted by injuries to Madrid's regular left-backs Marcelo and Fabio Coentrao, who will be assessed by Real's medical team in the coming days.
After the Villarreal fixture, Real face Galatasaray in the Champions League on Tuesday before hosting city rivals Getafe at the Bernabeu the following Sunday.