Literally 97% of pregnant women complain of shortness of breath at some time during their pregnancies. Most of the time, this is related to some of the pulmonary physiologic changes of pregnancy that give women the sensation that they are not breathing and deeply or moving as much air with each inspiration; but their actual oxygen status remains unchanged. It is normal to feel as if you are not breathing as deeply or if your rate of respirations increase with less vigorous activity while pregnant.
Rarely, difficulty breathing is a sign of a more serious problem. If you’re having trouble catching your breath even while resting or if you have symptoms of low oxygen levels, like changes in the color of your skin or confusion, then you may need to seek medical care immediately. Women who have underlying asthma may also have shortness of breath related to uncontrolled asthma during pregnancy and this would be a reason to seek immediate medical attention. Also, if you noticed that you can’t sleep without propping your head up with several pillows, you may need to talk to your doctor.
Otherwise, if your shortness of breath is just with exertion and becomes improved with rest, this is likely normal.