Before we even get into this, you should speak to your obstetrics/gynecologist first to let them know that you are going to start exercising, or that you are continuing to exercise while you are pregnant. The first trimester for every baby is extremely important, and this is the first 12 weeks of pregnancy. Make sure when you are exercising that your heart rate does not go above 140 beats per minute and make sure that you do not get to hot while exercising.