Pilates is a somewhat old form of exercise (invented by Joseph Pilates in the 20th century) that has recently gained quite a lot of media attention and is currently helping many people, all over the world, with improvements in their physical and mental health.
The inventor originally came up with the method because he was himself very weak and could not do the regular exercises like other people of his age. What it eventually turned out to be was a good understanding of how the body muscles and mental control works and finally, the application of the knowledge to help other people in improving the control and thereby their bodies and the enhanced quality of life that would inevitably ensue.
Due to its stress free nature and anywhere-anytime-anyone philosophy, it is very safe to continue with Pilates during pregnancy.
It is a low impact exercise that works with your body in its present state and does not demand or involve the high stresses involved with other exercise regimes like weight training or cardiovascular training.

This is especially true when a woman becomes pregnant and can no longer perform the various aerobic moves that she previously did. At such a time, a Pilates workout can help the core muscle strength stay intact. This makes Pilates during pregnancy not just an obvious choice but also a necessity as progressing through pregnancy puts more and more stress on the back and body joints due to weight gain.
When Joseph Pilates was going about creating the Pilates exercises, he focused on what he called the girdle of strength. The girdle of strength is the abdominal area muscles along with those connecting to the lower pack and pelvic floor. These areas are also the most important for a pregnant woman because the very nature pregnancy forbids any stressful exercise involving these areas. So Pilates during pregnancy offer not only the perfect but sometimes the only choice.
First Trimester
It is quite safe to do almost any Pilates exercise during the first trimester though it is safest to first consult your doctor and discuss all possible exercises before going ahead on your own. Sometimes it also helps if you can talk to a properly certified Pilates instructor as they can already possess knowledge of how to proceed in these matters.
Second and Third Trimesters
It is advisable to be a bit more cautious during this phase of pregnancy. Discuss everything with your doctor as well as a certified Pilates instructor before doing anything (or continuing with your existing Pilates routine). It is quite normal for everyone to tell you that all exercise requiring equipment and balance should be avoided during pregnancy once the woman is into the second trimester.
Pilates during pregnancy are quite safe but there can be individual complications that only qualified professionals can help you with.

Check out http://www.pilates-women.com for more info.