Last pregnancy I cycled to 38 weeks, and did a couple of swims a week.
I had quite bad PGP (pelvic girdle pain) which was brought on by some over enthusiastic off road running at about 14 weeks.
This time I am cycling a bit less frequently - given I only go into officee 2 days (intead of 5 days) a week. And the weather has been atrocious for cycling - though I have managed to keep doing longer rides at the weekends.
I am 17+4 at the moment - so just over the worst of the first trimester. Last week took a nose dive in exercise terms with a sicky toddler (and being knackered from week before).
With this seemingly interminable winter I took out a gym membership just after finding out I was pregnant. My thought was this would be for a couple of months until the weather perked up - but I am enjoying classes so much I think I might keep it up until baby comes.
I am doing body pump class - low weight high repetition class - which I find ace for arms and back and posture, I really focus on the form and engaging transverse tummy muscles - I found some leaflets on line for adapting this class for pregnancy (including inclining the bench) - because of my previous pelvis issues I don't do any lunges and just do more squats.
I also go to pilates (both these classes are included in the gym membership) - now this isn't a special pregnancy class - so I did lots of research on how to adapt this, things not recommended fall into several areas
a) Things lying on your back - now this is rare (and I still sleep on my back or wake up there!) but some people will pass out if lying on their back after about 16 weeks because of increased pressure on return vein due to weight of baby/uterus. Risk is reduced if you are active in that postition i.e. moving legs as this pumps blood back. My take on this is I do, do exercise on my back and in shoulder bridge but take breaks sitting up or lying on my side.
b) Things involving crunches/ sit ups - this is due to risk of separating the longitudinal (chest to pubis) abdominal muscles (diastasis recti) - I don't do these exercises - if either class is doing crunches or similar I do leg lowers on my back or tummy exercises sucking in my tummy button/ pelvic tilts that are done on hands and knees.
other things c) Getting out of breath
When cycling if there is a hill I sometimes can't avoid getting out of breath, and I sometimes try hard, I think I know if I am overdoing it and reign it in - but I still enjoy a bit of effort. Because of my personality I am avoiding spin classes - because I suspect I would try too hard (and I find them quite warm!!) - what I have read about this is that the old recommendation of keeping heart rate below 140 bpm is overly conservative (this was based on a theory that you might be diverting required oxygen from fetus - subsequent research showed that generally blood flow to fetus compensated during exercise). Additionally if you exercise frequently (3+ times a week) - this is better for fetus as they become accustomed to exercising too, rather than getting a bit of a shock once a week say.
Blimey this turned into a long reply - sorry!