Is it possible for me to sprain my shoulder working out?

Absolutely: Gogi, Depends on the type of exercise you were doing, and how you may have injured it. Shoulder sprains are common, as are strains of the rotator cuff (a series of small muscles which attach to your Humerus, or upper arm bone). Both usually respond well to conservative treatment: RICE (rest, ice, compress, elevate). If it doesn't improve in a week, see your doctor. You may need an Xray.