It all depends on what you were doing before you got pregnant. I've been running for years, and although I have stopped training for that marathon, I still run, and continue my XT. I have cut my running back to no more than 45 minutes, mostly becuase of the potential for dehydration and have made modifiations to my Yoga that were recommended by my doctor and instructor (some to help align and strengthen the pelvis in preperation for later on). I have stopped rowing, but now do two swimming sessions a week rather than one.
But everyone else is right. You should talk to your doctor if you are starting anything new!
The key is to not let your core body temperature rise and to keep your heartrate down in the "low/moderate" range (I highly recommend wearing a hearrate monitor). You should be able to carry on a conversation and not break into a sweat. And stop the very second you feel lightheaded, out of breath or nauseous. Also do not skimp on the warm-up, cool-down and your stretching.
Good luck! And fitness is only 30% of the equation, be sure to eat healthy. That plays a much bigger role in controlling weight gain.