Given all its systemic adaptive requirements, pregnancy shares several features with physical exercise. In this pilot study, we aimed to assess the physiological response to submaximal cardiopulmonary exercise testing (CPET) in early pregnancy. In 20 healthy, pregnant women (<13 weeks gestation) and 20 healthy, non‐pregnant women, we performed a CPET with stationary cycling during a RAMP protocol until 70% of the estimated maximum heart rate (HR) of each participant. Hemodynamic and respiratory parameters were non‐invasively monitored by impedance cardiography (PhysioFlow®) and a breath‐by‐breath analyzer (OxyconTM). To compare both groups, we used linear regression analysis, adjusted for age. We observed a similar response of stroke volume, cardiac output (CO) and HR to stationary cycling in pregnant and non‐pregnant women, but a slightly lower 1‐min recovery rate of CO (−3.9 [−5.5;‐2.3] vs. −6.6 [−8.2;‐5.1] L min−1 min−1; p = .058) and HR (−38 [−47; −28] vs. −53 [−62; −44] bpm/min; p = .065) in pregnant women. We also observed a larger increase in ventilation before the ventilatory threshold (+6.2 [5.4; 7.0] vs. +3.2 [2.4; 3.9] L min−1 min−1; p < .001), lower PETCO2 values at the ventilatory threshold (33 [31; 34] vs. 36 [34; 38] mmHg; p = .042) and a larger increase of breathing frequency after the ventilatory threshold (+4.6 [2.8; 6.4] vs. +0.6 [−1.1; 2.3] breaths min−1 min−1; p = .015) in pregnant women. In conclusion, we observed a slower hemodynamic recovery and an increased ventilatory response to exercise in early pregnancy.