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Gameiro, 29, has missed Atletico's last five games due to a groin problem, with Fernando Torres deputising alongside Antoine Griezmann.
But he trained with the rest of the squad on a sunny but cool evening at the King Power Stadium.
The France international and his team-mates limbered up with a volleyed passing game before taking part in stretching exercises in the part of the training session open to the media.
Atletico, beaten finalists in 2014 and 2016, are 1-0 up on aggregate after Griezmann's penalty gave them a narrow victory in last week's first leg.