Shortness of breath is not uncommon during pregnancy. While walking up a flight of stair you suddenly feel like you ascended 10 flights instead of just one. There are multiple reasons for this. First, you will put on a significant amount of weight during your pregnancy, perhaps as much as 30-40 lbs. Secondly, you become anemic. Third, your legs may retain a lot of fluid. This combination of anemia, extra weight and swollen legs makes it difficult just to move around. You will find yourself panting doing what before had been a very easy task.
Some things you can do to prevent shortness of breath are to stay in reasonable shape, exercise on a regular basis by walking 30 to 40 minutes a day. In your third trimester slow down and shorten your pace. Take your prenatal vitamins, as the iron will help prevent you from getting extremely anemic. Wear support hose to keep the swelling out of the legs. All of this can definitely help; and rest assured you will feel much better after delivery.