Yes, there is a pool with a dive tank and a very nice athletic center at Wellesley. We got a tour of the facilities when we were visiting. Like many colleges, Wellesley requires 2 semesters of PE. I believe the PE requirement at Wellesley can be waived if you play varsity or club sports. However, the PE offerings make me want to take a class: dance, yoga, skiing, horseback riding, golf...
Here is a link to the athletic facilities site:
Wellesley Recreation Facilities
We were told that Boston is accessible by bus, but some students complained that the 30-40 min ride was too long. My daughter does not mind, since it is exactly the same as the time it takes us to get to Seattle from our house.