A treadmill is an exercise machine for walking or running in place. If it's bitterly cold outside, you might decide to go to the gym and run on the treadmill instead of taking your usual outdoor jog.
A treadmill was originally a type of human- or animal-powered machine. By walking on a wheel fitted with steps, a person (or animal) turned it, grinding grain in the process. Treadmills were also used as punishment in prisons where inmates were forced to work. Today the only treadmills you're likely to see are in a gym, but the word is commonly used in a figurative way for any relentless, boring job.