Before starting an exercise program you should see and consult your physician. Although the American College of Obstetrics and Gynecology does not mention a preferred time when to start an exercise program, the Canadian Society of Exercise Physiology recommends women who has been sedentary (inactive) before pregnancy to begin exercising in the second trimester. While there are no studies finding negative outcomes when sedentary women start exercising in their first trimester, it might be easier for them to start a new exercise routine in the second trimester after all the first trimester symptoms (nausia, fatigue etc) has started to diminish. However, exercise has been shown to reduce many of these symptoms, so pregnant woman really need to consider her own situation. Many women may benefit from beginning an exercise program in their first trimester.
PERSONAL EXPERIENCE: Although I was active before both my pregnancies, my first trimester with my first son was fairly easy, and yes I was tried and slightly nausious but I was able to keep exercising and felt good doing it. With my second son however, I was very nausious and extremely tired during my first trimester. It was difficult for me to exercise since I felt even more nausious when exercising during that period. The point of this is that every woman needs to consider her own situation and try out what works best for her and her pregnancy.
References (see foter): 1 & 3