The term shugyo means pursuit of knowledge, studying, learning, training and discipline, etc. It is, I believe, a shortened version of the term "shugyosha" which means practitioner of (Buddhist) austerities. However, I have also herd the word shugyosha used to refer to someone who is a serious student of the way of the sword.
I don't think the term "shugyo" has any Buddhist connotations these days, although it may have had some such in the past. Nor is the term constrained to a martial context; people can undergo "shugyo" in things like flower arranging and tea ceremony.
"Shugyo" can actually be written in two different ways to mean two different things. The first is the "normal" way that people usually see "shugyo" defined as. In this context, "shu" basically means "discipline" or "study" and "gyo" basically means "the arts" and basically means something akin to a disciplined study of the arts.
The second way to write it has the second character "gyo" as the same character in the verb "to go" (iku) and refers to the act of travelling to different "masters" to study under them for some periods of time. I guess the closest one may come these days in aikido of this kind of "shugyo" is by going to seminars or to many different dojo.
What are all of your thoughts on the term, "shugyo"?