The Peloton app, website, bike and tread allow you to “Count Me In” for upcoming classes. At this time, there is no way to import that list of upcoming classes you are scheduled for into a calendar of any sort (Outlook, Google Calendar, iCal, gCal, etc).
However, if you visit the Peloton schedule from a desktop web browser and click “Count Me In” for a specific class, the popup then gives you an “Add to Calendar” link for that specific class. Your options are iCal, Google, Yahoo, and Outlook. You have to repeat this for each individual class that you want to appear on your calendar.
If you want an upcoming list of all classes for specific instructors, there is no native way to do this that Peloton provides. However, the team at reddit has created individual calendar links for each instructor. These are not updated dynamically or automatically, but rather once a week or so as the moderators have time.