Getting Started. Before you consider any exercise program during your pregnancy, it is important that you discuss this with your doctor and get a medical clearance to begin. As per the 1994, American College of Obstetrics and Gynecology guidelines, a woman who has never exercised before can start to exercise during her pregnancy. This is safe according to Dr. Clapp, an expert in Pregnancy Fitness. It would be advisable to seek the help of a fitness professional to design a safe and effective training program.