A heavy bag uses one or more removable canisters placed inside a cover, substantially filling the cover and thereby forming a modular construction for the heavy bag. The cover has a selectively resealable closure which permits the canister or canisters to be inserted into or removed from the cover. The bag is formed from a set of the canisters within the cover. In one embodiment of the invention, the canisters are not all filled with the same stuffing material, causing the densities or hardnesses of the canisters to differ from each other, thereby creating zones of differing hardnesses within the bag. The canisters are preferably filled with stuffing material in the form of sand, pieces of rag, liquid, gel, foam, or egg-crate foam. The invention can include a structure to avoid separation of opposing surfaces of adjacent canisters received in the cover of the bag.