Cross training is doing more than one kind of exercise. Usually it means that you would add a different kind of exercise to your usual/main exercise that may work a different part of your body. So, for example, someone who is a runner may also do resistance exercises (weights) for upper body.

As Julie says Cross training is the process of doing more than one form of exercise. It can also be used in a work education sense. Crossed trained is the end result of cross training.