Generally speaking, if you are a healthy woman and are having a healthy pregnancy the answer is yes. In fact, it is recommended that you exercise during pregnancy as it helps with weight gain, diabetes and overall feeling better.
If you are already exercising, you can continue the exercise you are doing, though you may need to decrease the amount of time or intensity. Listen to your body and do not over do it. Be wise.
If you have a health condition such as heart problems, diabetes, or joint problems it may not be OK for you to exercise.
If you have any questions at all about exercising, ask your health care provider.
Do you exercise while pregnant?