You should definitely exercise when you are pregnant! Exercise improves your muscle tone, strength and endurance, which may make it easier for you to adapt to the changes that pregnancy brings. 
Regular exercise will:

Make getting back into shape after your baby is born easier.
Help you to carry the weight you gain in pregnancy.
Prepare you for the physical challenge of labour and birth.
Improve your mood and give you energy.
Help you to sleep better.

The following types of exercise are safe in pregnancy, though some may not be suitable for the last few months, and you may need to lessen the activity as your pregnancy progresses.
Aim to walk for at least 30 minutes a day, five times a week. So walk to the shops rather than drive, take the bus only part of the way, take the stairs instead of elevators.
Running is one of the quickest and most efficient ways to work your heart and body, and you can vary the distance as your energy levels allow.
If running is new to you, pregnancy is probably not the time to start. It’s best to stick to more gentle exercise, such as walking or swimming.
Swimming is an ideal, and safe, form of exercise in pregnancy. It exercises your arms and legs, and works your heart and lungs. The bigger your bump gets, the more you’ll enjoy feeling weightless in the water. 
It can help to ease back pain and swelling in your legs in late pregnancy.
It’s safe, as long as you keep the exercises low impact, to protect your joints. These days there are a lot of fitness trainers and experts who you could sign up with. 
Get your heart pumping by dancing to your favourite tunes in the comfort and privacy of your own home.
Try not to leap, jump, twirl or change direction suddenly, as you may lose your balance.
Reasons to terminate exercise while pregnant
If you experience any of these symptoms, stop exercising and consult your physician just to be one the safe side.

Vaginal bleeding
Sudden shortness of breadth 
Dizziness or faintness
Headache or visual disturbance
Unexplained abdominal pain
Muscle weakness
Swelling of ankles, hands, or face
Swelling, pain, and redness in the calf of one leg
Preterm labour, persistent contractions
Decreased foetal movement
Amniotic fluid leakage
Elevated pulse or blood pressure persisting after exercise
Fatigue, palpitations, chest pain
Insufficient weight gain (