'Game of Thrones' Star Kit Harington on Gym Break During 'Wellness' Rehab

Kit Harington is finding healthy ways to release stress -- getting in a workout down the street from his stay at a "wellness center" ... aka rehab.

The "Game of Thrones" star was walking out of a gym Friday in the Connecticut neighborhood where he's been taking what his people call a mental health retreat ... at a luxury facility.

Kit, who played Jon snow on the extremely popular HBO series, was rocking jeans and a button down on his way out of the gym. His female companion appears to be someone connected to the facility -- maybe a sponsor ... she's been seen with him around town in late April.

As we reported ... Kit's reportedly getting treatment for exhaustion, stress and alcohol abuse at a facility that's believed to cost about $120,000 per month. As you can see, he's allowed to leave the facility from time to time.

We're told Kit spent about 90 minutes at the gym ... plenty of time to get in a killer workout.