This past school year one of my health professors mentioned that her daughter trained for marathons and even participated and completed them. That's really good of her, but then my professor mentioned she did this while pregnant. My first reaction was "that is amazing!" My second was questioning if that was healthy or not.
Actually exercise is absolutely beneficial for women who are pregnant or are planning on becoming pregnant. Robert Preidt, of USA news, wrote the article which can be read to its entirety: Exercise Can Cut Risk of Pregnancy Related Diabetes: Study.
The study used pregnant women who participated in little to no activity daily. The results showed that exercise is not something to avoid while pregnant. Two benefits the article emphasized were: those women who took up exercise reduced their risk of pregnancy related diabetes by more than 30%, it is also worth noting that those women were on average 2 pounds lighter in comparison to women who do not exercise. The women who benefited most combined different styles of exercise: flexibility, aerobics, toning, and strength.