Vigorous excercise can increase your heartrate and core body temperature, which is believed to cause brain damage to the baby. It is also why they don't recommend spas or baths too hot.

Fatigue to yourself is also something you should avoid if for no other reason but for your own comfort. Even though I had been attending regular pilates classes for well over a year before conceiving Caleb, I had to reudce the reps and weights because my muscles would be aching too much.