A great way to train your focus is to practice concentration.

This technique was shared by Leo Gura from Actualized.org:
Sit still, close your eyes and focus on one sensation, for example the feeling between your fingers, or the feeling of your tongue pressing lightly to the roof of your mouth. Anything you can concentrate on really.

Put a timer for 2 minutes and stay with this feeling for the whole period, and get back to the feeling whenever your mind wanders.
You will notice that concentrating on a single thing for 2 minutes is harder than you think.
Making a habit out of this practice and extending your daily concentration sessions will greatly improve your focus during work, exercise or anything in life really.