Hi. No you don't. The pedals that come with the bike are Delta pedals so you will need bike shoes (which need to have three holes vs. two holes on the sole) and delta compatible cleats. I personally like wearing mountain bike shoes because they're more comfortable and easier to walk around the house when not on the bike.
Hi all, I recently replaced my peloton pedals with the Shimano PD-M520 MTB SPD Bike Pedals and bought the Pearl iZumi Women's Road Attack Cycling Shoes and it is so much more comfortable and easy clicking in and out. It is also MUCH quieter! Hope that helps! There are other shoes that you can use with the Shimano PD-M520 MTB SPD Bike Pedals. Also, it doesn't matter which side is up since they have the clip on both sides - so no need to get the pedal in the correct position.