The inner thigh muscles that close your legs together--or adduct them--are actually several muscle groups working together. These muscles include the obturator internus, the pectineus, the gracilis and the adductors brevis, longus and magnus. Together, these are the hip adductors. According to "Strength Training Anatomy," they are particularly prone to injury during sports activity and during heavy leg exercises, making it particularly important to build these muscles with the correct exercises.
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Machine adductions are the hip adductor exercise you're probably most familiar with. They completely isolate the inner thigh muscles, allowing you to use exactly the weight you need for the area. This makes them a great warmup exercise. To perform machine adductions, sit at the adduction machine. If it's a machine for both abductions and adductions, place the leg pads wide and direct them against your inner calves. Grip the handles to stabilize yourself, then squeeze your thighs together in a controlled manner. Slowly release them back to the start without letting the moving weights touch the stack. Do this exercise with light weight as a warmup for more intense inner-thigh exercises. Perform sets of 10 to 20 reps.
The power squat is performed with a wide stance. It's often used by power lifters, because the wide stance allows the torso to remain more upright, taking pressure of the lower back and transferring it to the hamstrings and inner thighs. To perform a power squat, hold a barbell across your shoulders. Take a wide stance with your toes pointed out at an angle instead of straight forward. Squat until your thighs are parallel to the ground. Stand back up. Perform sets of eight to 12.
The "Encyclopedia of Bodybuilding" includes the deadlift as one of their seven must-do exercises. It utilizes almost every muscle in the body, and is the best exercise for building the hamstrings, glutes and lower back. When you perform deadlifts with a wide-stance, it also becomes the single best exercise for building the inner thighs. To perform a sumo deadlift, take a wide stance in front of a barbell on the ground. Your stance should be such that when you squat down to grab the bar, your knees are over your toes or just a bit inside. Your arms should be perpendicular to the ground. Look forward. Press through your heels to stand up, keeping a straight back the entire time. Follow the same path to set the barbell down. Perform sets of four to six reps.
Side lunges are very effective at working the hip adductors. With light weight, the movement is also a very good inner-thigh stretch. Stand holding a pair of dumbbells at your waist. Instead of stepping straight forward, step out at a 45-degree angle. Lower your body until your forward thigh is parallel to the ground, then press yourself up and back to the starting position. Perform a full set with each leg, or alternate. Do side lunges in sets of 10 to 20. Be very careful doing them or avoid doing them if you have knee problems.