Which club is Don in?
1. He is in a sports club.
2. He is in the sports club.
3. He is in a Sports Club.
4. He is in the Sports Club.
5. He is in The Sports Club.
(Which answer is common and natural? Are all grammatically correct?)
They are all correct and probably #4 is the best answer.
Sra
All of the answers you provided are grammatically correct, but the most common and natural expression would be:
2. He is in the sports club.
Using lowercase for "sports club" is preferred unless it is a specific proper noun like the name of a particular club. In general, when referring to a generic category or type of club, it is more common to use lowercase letters.