They can and again you need to double check with your doctor. Their doctor will give them a specific heart rate that they don't want to go above, if it gets too high its unsafe for the baby. That especially a concern if they've already been working out. I know a lady who taught what they call yoga-lates, which is a form of yoga and Pilates mixed together, the whole time she was pregnant. So, if you've already been doing a lot of exercising you can continue to a point. At a certain point you have to stop lying on your back. But if you were walking or exercising before your pregnancy you can continue with a similar routine. If you haven't been exercising, you need to begin very slowly. Once again, I'd have to say the best thing if you're pregnant and decide that you need to exercise is just to walk.