At very low levels, it might work, but you wouldn't get DBZ level benefits.
Most people have trouble walking at around twice Earth's gravity. At 10 times normal gravity, you're at risk of very serious injury. Go too far beyond that, and you're in trouble. I don't believe there's any risk of air poisoning at the gravities we can handle, but you wouldn't be able to train much either.
You wouldn't get the same benefits they see on DBZ either. Yes, you would be working under extra pressure and so, if you could handle it and worked at it long enough, you might get stronger and fitter, but there are limits as to how far you can take this. The downside is that under the extra strain you'd tire out faster, and increase the load too much and you just wouldn't be able to do anything.
You could think of it more or less like weight-lifting- train with heavier weights, then you get stronger, but there is a limit as to how far you can take it. And try and lift too much, and you wouldn't be able to do anything.
In the case of humans, even a slight increase is quite noticeable and you'd start to face extra strain. If you were already fairly fit, you'd be able to handle this, and maybe get a bit better, but again, there are limits. Try and do what Goku does, and well, you wouldn't last very long (actually that's true of most things about Goku, but anyway...)