A feeling of working harder to breathe is common in pregnancy, partly due to progesterone, a pregnancy hormone that affects your breathing, and partly due (usually later on) to the size of the uterus preventing your lungs from fully expanding. I remember when I was pregnant I was running our medical student rotation and, just mid-pregnancy, I couldn’t finish long sentences without running out of breath! So I am not sure anything is wrong with you, depending on your medical history and the severity of your shortness of breath. Asthma and allergies can sometimes worsen in pregnancy, and a medication adjustment may be needed. And if you are a little out of shape, carrying around the extra weight may be enough to make you feel short of breath as well.
The most dangerous cause of shortness of breath in pregnancy is a blood clot traveling to the lungs, known as a pulmonary embolism or PE. This is quite rare, although a bit more common during pregnancy than in the general population. Usually the symptoms are not subtle, but rather a sudden onset of severe breathlessness, often accompanied by chest pain or pain with deep breathing. With a PE, one typically breathes fast and can’t speak in full sentences, so it is more than just a sensation of being a little out of breath. Other causes of on and off shortness of breath are much more common, but if your symptoms are severe or accompanied by chest pain, call your doctor or midwife right away.
Even though you are not that far along in the pregnancy, the shortness of breath may not get much worse. Being in good shape, with regular exercise and appropriate weight gain, can help you feel your best for the duration.