Watson’s (the Hong Kong drug store) sells vitamins of all sort, including a few varieties of protein powder. There’s one on underneath the Soho apartment complex, right near the intersection of the Consulate Road and Kehua Beilu.
For sports equipment the best place has gotta be Decathlon, which is in the South of Chengdu across the street from Ikea. It’s like a Sports Authority in the States if you’re familiar with that – a giant sports equipment super store. It’s French owned and they have high quality stuff there. I’m sure they’ll have whatever you’re looking for!