Outside work experience is good for some fields, but in a field like history it is much less valuable sonce there isn't a whole lot of work out there in the real world that relates to what history professors do. Even in my field (political science) where there is a lot one can do to get real world experience that may be useful academicaly, Ph.D. programs see it as only marginaly a plus. And as asaris said, if you go out into the real world now you probably won't get out of a Ph.D. program until you're 35, which is fairly old to be looking for assistant professorships.
So basicaly you could go straight for a Ph.D. program or get your Masters first. While you don't have to be a major in a field to go to grad school in that field, you do have to prove you have a knowledge of the basica tenents and methods of that field. A Bachlors in exercise science probably doesn't do that very well, so you probably won't get into a very good Ph.D. program. Getting a Ph.D. from a third or forth tier school is fine if you just want to teach at the community college level, but keep in mind that your job prospects are directly tied to the prestige of the program you attend, in a way that is not true at the undergrad level. You will not be getting a job at a research university with a Ph.D. from podunk U, and you probably won't ever get a tenure track job or enjoy any kind of job security. This is particularly true is fields like History where there aren't a lot of jobs outside academia. Again though, it depends on what you want to do.
The other thing to think about is funding. Many Ph.D. programs will pay you to go to school. No tuition, small stipend, and all you have to do is TA a few classes. With a Master's program you will be paying tuition, so you'll be looking at a lot more college debt.
Going for a Master's first would alow you to show you competence in the field, learn the methods of the field, and then get into a rock-star Ph.D. program (one of the Political Scientists I most respect got her MA at the University of Arkansas and then her Ph.D. from Stanford, now is teaching at Harvard). Most Ph.D. programs also let you transfer some of the work form your master's program, shaving a year or so off the five year Ph.D. experience. Going for a Ph.D. first would get you out a year or two sooner, with less debt, but with much worse job prospects.
Keep in mind that while I'll claim to be fairly knowledgeable about the academic world (dad Ph.D. in Poli Sci, mom Ph.D. in Art History, Girlfriend and I both about to enter Ph.D. programs me Poli Sci at Stanford her Comp Sci at Virginia) your best bet is to talk to a History professor since they've gone through it all.
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