Of course you should check with your doctor, but many studies have shown that exercise is not harmful during pregnancy. Some have concluded that women who exercise vigorously during pregnancy give birth to smaller but otherwise healthy babies, and one study showed that vigorous exercise during pregnancy can help to prevent preterm birth. Ingrid Christianson, a former world record holder, gave birth to a healthy baby after wining the Houston Marathon when she was five months pregnant.
It would be almost impossible for a pregnant women to exercise so vigorously for the baby’s brain to be deprived of oxygen. Excessively high body temperature is a theoretical concerns; while infections can raise body temperature high enough to damage the baby’s brain, I know of no reports of exercise doing this. Lack of sufficient calories is a more reasonable concern. If you are a heavy exerciser you must be sure to eat adequate amounts of food to meet both your own needs and those of your developing baby. You are supposed to gain about twenty pounds, regardless of your weight before pregnancy. No woman should use exercise or food restriction to attempt weight loss while she is pregnant. See reports #8392 and #9622 on diet during pregnancy.