Police say the cyclists — who were wearing their team uniforms — were spotted on the shoulder of the Don Valley Parkway around 10 a.m.
Officers who were in the area to enforce special Pan Am Games high occupancy lanes quickly reached the group and escorted them to a safer route.
Det.-Sgt. Devin Kealey says the cyclists were trying to fit in a one-hour training session and thought the stretch of highway would suit their needs.
He says there was little traffic on the usually busy commuter highway, and no one was hurt. There were no charges.
Kealey says the group was "very co-operative."
Organizers for the Pan Am Games say the incident was "an honest mistake" by athletes who were "not familiar with the area."
"We have followed up with Brazil's National Olympic Committee to ensure they're aware of all the safe and available training options in the city," spokeswoman Neala Barton said in an email.