Arnold knew Shad from the legendary Gold's Gym in Venice -- where some of the top bodybuilders from around the world go to train.

It's clear Shad made an impression on Arnold -- not just from pumping iron -- but for just being an all around good dude.

In fact, so many people at the gym had love for Shad, they set up a memorial right in front ... and Tuesday morning, Arnold showed some love.

"On my bike ride today I stopped to pay respects to Shad Gaspard," Arnold said.

"He was such a positive force in the gym and the world. He was a hero in bodybuilding, a hero in wrestling, and the moment he told lifeguards to save his son first, the ultimate hero."

"My thoughts are with his family."

As we previously reported, Shad was caught in a riptide during a beach swim in Marina del Rey with his 10-year-old son on March 17.

Lifeguards rushed out to help them -- but Shad directed them to rescue his son first. Moments later, a giant wave crashed on Gaspard, pulling him under.

His body washed up on shore a few days later.

Since then, stars from all over the world have paid tribute ... remembering Shad as a really nice guy, a solid wrestler and a great husband and father.