Proceed With Caution

That's not just a sign on the road, it also describes how you should plan your fitness program. There are a few factors to consider when making a program.
One is your current physical state , another is your athletic experience. Obviously if you're an Olympic athlete, learning  a new skill or trying for a new goal should be relatively easy. You'll still have to start from the beginning but at least you'll have it easier than most people. Examples would be Michael Phelps learning how to ski the Rocky Mountains or Floyd Mayweather wanting to learn rock climbing. On the other hand, if you've been living in Dunkin Donuts or gasp for air when you go to get the mail , you definitely have a long , long , road ahead of you . Don't expect to be doing much more than basic joint mobility and basic strengthening exercises in the beginning .
Another major factor is what are you trying to learn? If it's just a general basic fitness program ( lose weight, tone up, etc. ) that won't be super difficult. Again, basic exercises ( mobility and strength ) and maybe a little cardio along with proper nutrition will gradually and safely move you along. Maximal strength training ( squats, bench press, military press, and dead lift ) and even some strength endurance ( pull ups, push ups ) are relatively simple to learn and can be eventually ramped up to provide a greater challenge . These exercises do still require proper form ( especially the power lifting ) but still are pretty straight forward.
On the other hand things like rock climbing, swimming, gymnastics, and Olympic weight lifting, just to name a few, require an incredible amount of work. Professional instruction is definitely recommended for most of these. While some basic things can be done on your own , advanced work can be incredibly risky for the untrained. I myself take it to heart. I am currently working on 3 Olympic lifts, snatch and clean & push press or clean and jerk.You know how much I snatched tonight? A whopping 50 lbs. 5 reps x 5 sets, each rep carefully executed. And this was after an empty bar warm up ( 45 lbs ). And currently I've been averaging 70 lbs on my 2 clean lifts. I certainly will not be attempting a body weight lift, let alone double or triple body weight  anytime soon ( gold medalist Mathias Steiner can relax!). Not without professional instruction.
I do that because I've rushed things in the past and pulled a muscle and ended up out of commission, delaying progress even longer. The same rule also applies to when you're exhausted. Don't practice a highly technical thing , like an Olympic lift, or an incredibly difficult thing , like a jump over a wall ,when you're fatigued. I found out the hard way 2 years ago bout jumps and fatigue. After a 7 mile run on the beach , I decided to jump from a still position , up on to the top of cement picnic table! My extreme Ninja Warrior moment. Remember, not a running jump, a still jump. After 7 miles in sand. The table top was probably 2 1/2 - 3 feet high. My first attempt didn't make it. On the 2nd try, my shins crashed into the table. Ouch! I ended up with several stitches. Luckily I could still run although I couldn't swim for a couple of weeks. Also some leg exercises hurt. Clearly I shouldn't have jumped.
I hope you now understand the importance of step by step training . Careful practice can lead to success while rushing things can lead to ruin.