Private Pilates instruction can be very expensive, ranging anywhere from 65 to 110 dollars per session, and if you really wanted to, you could probably find places which would charge you even more. In order to bring the cost down, Penny takes select clients at her in-home studio for only 50 dollars per session. If you are on a budget, or are saving up for a chateau in the French countryside, near Provence, this would be a good option.