Some women say exercising while you are pregnant makes labor and delivery easier. Walking and swimming are great choices. If you were not active before pregnancy, start slowly. Listen to your body and do not overdo it. Drink plenty of water to prevent overheating or dehydration. It is best to avoid exercises that may cause you to fall. This includes skiing and rock climbing. You also should avoid contact sports, such as soccer or basketball. If you were active before pregnancy, it is probably safe to continue. Ask your doctor if you have any concerns.