YES, YES, YES…but be safe and check with your doc. Sometimes you may have a condition that may limit your ability to exercise. For instance, if you have a placenta previa (the placenta is covering your cervix), or if your cervix is short and you are at risk of premature delivery. For most women, though, exercise is a good thing and you should listen to your body. When you are tired, you are tired and you should stop what you are doing and take a break. Mostly, it is a good idea to avoid exercise that requires a lot of balance because pregnancy limits your mobility and balance. Avoid exercise such as on treadmills, or skating, and biking. There are lots of things you can do including light jogging, walking, stationary bikes, yoga (usually you can find a prenatal yoga class), and even swimming. If you are exercising during pregnancy, your labor will be a lot easier.
As always, check with your doc it is ok for you.