Even short bursts of exercise can leave pregnant women breathing deeper than normal. This is common during the first trimester because of rising levels of progesterone and dramatic increases in blood volume. By 32 to 34 weeks pregnant, a women's blood volume can soar by 40 to 50 percent [source: HON Foundation].
Both of these physical changes require more oxygen [source: Mann]. While you may feel societal pressure to be like the energizer bunny, pregnancy is a time to take things a little slower. Also, sitting up straight may help your lungs expand. Your breathing will return to its normal, easy state after giving birth.