The first thing to remember regarding prenatal Pilates, is to make sure you check with your doctor first.
They need to know your health history, and of course your previous history with Pilates. It helps if you've been practicing Pilates for some time. That doesn't mean you can't take it up after pregnancy, but that you must be that much more careful to be slow and careful, and also to make sure your teacher is fully qualified.
Want to maintain your strength and flexibility while pregnant, improve the strength of your Core to facilitate the birth process and flood your blood with life-giving oxygen for yourself and your baby?
Pilates goes well with pregnancy because it emphasizes strengthening the same part of the body you're now most concerned with -- your abdomen and lower back, what Joseph called The Powerhouse and most Pilates people now call The Core. That includes your pelvic floor and your Kegel muscles.
There are prenatal Pilates classes especially for pregnant women. If you can find one of those, that's ideal since it will be set up especially for you and the physical needs of you and your baby.
However, you still need to make sure your teacher is fully qualified, not just made the prenatal teacher because she's a woman and therefore assumed to know more about it than the male teachers.
You should also bear in mind that your exercise needs and abilities will change with time, as your pregnancy progresses. You won't be able to do as much in your ninth month as in your fourth. Therefore, you'll still individual attention from the instructor.
One adjustment you must make is to discontinue all exercises where you lie flat on your back, once you're in the second trimester. That's to prevent blocking the flow of blood to your baby. You also should not put your feet above your head. You'll want to tone down your routines, and not do anything on an unstable surface, such as standing on the board of the Reformer.

Just as you'll need to be more careful when you're moving around, especially when you're getting up from bed or a chair, so you'll have to be more careful in the Pilates studio when you're getting up from the mat or off the Reformer.
Bear in mind your hormones are changing your body so you can give birth, including making your body's joints and muscles more stretchable. Be careful not to strain yourself.
You must be especially careful when you reach the point of diatasis later in your pregnant. That's when your abdominal muscles separate. Since so much of Pilates depends on these, you must be extremely careful and let your instructor know what's going, or discontinue Pilates until after the birth is over. At that point you'll want to get yourself back into shape.
With care, and focusing on the slow easy movements and the breathing, prenatal Pilates should help get your through your pregnancy and the birth process is relative comfort. You'll feel better and be healthier -- and so will your baby. Although there're no scientific studies to prove this, it stands to reason that the mother a does to help her own health and benefit her circulation, replenishing her blood with oxygen, the healthier that has to be for her baby as well.