I think as long your pregnancy is not a high risk one, it is good to stay active. Just that you might not be able to do exercises at the same intensity as before pregnant. The main thing is not to overexert and strain yourself, since pregnancy already takes a toll on your body. Check with your gynae on your exercise plan, before you start. They can advise you according to your condition. E.g., my gynae advised me to do exercise like light yoga and pilates, but nothing more strenuous. I have friends who did jogging all the way until 32 Weeks. So it depends on your condition.
Please seek advice from doctor. I have friend do yoga and ended up miscarriage.