My gyms have always had separate "shower stalls" much like toilet stalls, but with a curtain as the door. One then goes to the dressing area, and gets dressed. Some (nicer) shower areas have separate, curtained dressing areas attached.

I do think there is a mentality of getting dressed as modestly as possible, here. I'm sure you've observed that the US appears to be much less comfortable with nudity than the remainder of the world