“A total of 11 people died in the accident,” state broadcaster CCTV said, adding that an investigation of the accident was in progress.
Nineteen people were at the gym when the accident took place, local newspaper Heilongjiang Daily said. Four escaped and four others survived after being pulled from the rubble.
Footage aired by CCTV showed the entire roof collapsed onto the gym and rescue workers picking through the debris.
The search and rescue operation, which had involved nearly 160 firefighters and 39 fire trucks, has now wrapped up, CCTV said.
An initial investigation into the collapse found that construction workers had placed perlite — a form of volcanic glass — on the roof, Xinhua said.
Heavy rain then led the perlite to expand, causing the roof to collapse, it added.
“Those in charge of the construction company have been taken into police custody,” the state news agency reported.
Industrial accidents are common in China due to lax safety standards and poor enforcement.
Last month, an explosion at a barbecue restaurant in northwestern China left 31 dead and prompted official pledges of a nationwide campaign to promote workplace safety.
In April, a hospital fire in Beijing killed 29 people and forced desperate survivors to jump out of windows to escape.
And one of the worst such accidents took place in 2015 in Tianjin, where a gigantic explosion at a chemical warehouse killed at least 165 people.