WWE Star Triple H to Wife Stephanie McMahon -- LET'S BOX

WWE superstar Triple H and his wife Stephanie McMahon got all Million Dollar Baby this week in NYC -- training with the guy who taught Hilary Swank how to box for the Oscar winning movie ... and TMZ has the footage.

It all went down at Gleason's Gym in Brooklyn, where the couple strapped on the gloves for “Protein Fight Club” – a campaign to promote milk.

The guy putting them through the paces is Hector Roca – who famously trained celebs like Wesley Snipes, John Leguizamo and Jennifer Lopez.

Roca tells TMZ … HHH and SM trained for about an hour doing basic training techniques – with Stephanie showing some real flashes of promise in the ring.

As for HHH -- "Boxing is not really his sport."