Anyone just started at a new job and then found out that they are pregnant? How?

You should inform your boss/direct report about your pregnancy. Explained your situation and see how they take it from there. Knowing about your situation may prevent unnecessary misunderstandings such as your boss wondering why you may be unwell (assuming you may be experiencing morning sickness and other symptoms) or need to take leave (for medical checkups). Work aside; please remember to take care of yourself! Changing to a new job will certainly bring about stress from having to learn and adjust to the new environment. Maintain a positive mindset and remind yourself to relax whenever needed.