Scientific saying:
Feeling short of breath can start in the first or second trimester. It is probably due to your respiratory system adapting to the effects of pregnancy hormones. Your respiratory system adapts during pregnancy so your body can process oxygen and carbon dioxide more efficiently.
You need more oxygen during pregnancy, and your body adapts to meet this need in several ways. An increase in hormones, particularly progesterone, directly affects your lungs and stimulates the respiratory center in your brain. And while the number of breaths you take per minute actually changes very little during pregnancy, the amount of air you take in with each breath increases significantly.
Your ribcage moves up and outwards to give you a greater lung capacity and, although it may not feel like it, you breathe more deeply during pregnancy. It's the normal changes in the levels of carbon dioxide in your system that are thought to make you feel breathless.
In late pregnancy, the size of your growing baby can start to contribute too. As your uterus begins really pushing your diaphragm toward your lungs, you'll probably experience some breathlessness, especially if you're carrying your baby high.
Though you might feel a little like an engine as you huff and puff up a short flight of stairs, don't worry - this breathlessness is normal and harmless.