Not only is exercise safe, it is positively beneficial during pregnancy. The fitter you are, the more likely you will be able to cope with the physical demands of labour and birth. Doing any form of aerobic exercise such as swimming, cycling or brisk walking makes the heart pump faster and therefore increases stamina. Anaerobic activity such as pilates, yoga, isometrics or working with weights, will help to exercise individual muscles as well as improve flexibility.
Any sport you are doing on a regular basis is safe to continue for the first three to six months, as long as there are no pregnancy complications such as pain or bleeding. Aim to exercise regularly rather than in fits and starts and try to warm up and cool down gradually. Although there are no absolute rules, it is probably best to avoid activities such as squash, skiing and horse riding after the sixth month, since they carry a much higher risk of impact injury. If the pregnancy is healthy, no amount of exercise in the early weeks will cause a miscarriage. The advice to bed rest and stop exercise if you have had previous miscarriages is not based on medical evidence.