Middleton added that because she and Matthews, 42, kept their pregnancy under wraps during the "early months", she couldn't turn to fitness instructors for guidance and she had to create her own routine.
"That meant I was able to carry on as normal and continue most of my sports with better knowledge and, more importantly, professionals to learn from", she said of her fitness efforts.
In her column for the United Kingdom magazine Waitrose, the 34-year-old wrote about her pregnancy, nearly two months after British tabloids reported on it.
The illness led to her being admitted to hospital, cancelling engagements and missing Prince George's first day of school.
She is photographed working out, and discusses how she has adapted her exercise routine.
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In April, reports arose that Middleton was expecting her first child with husband James Matthews.
'I'm fanatical about sport and have looked at many books and sites on exercise during pregnancy but have been quite disappointed by the limited technical information on what you can and cannot do.
She added to Waitrose Kitchen magazine: "This being my first pregnancy, I had so many questions I felt were still unanswered".
Writing in her Waitress magazine column, Pippa opened up on the first three months of her pregnancy, saying: "I was lucky to pass the 12 week scan without suffering from morning sickness".
Pippa and James tied the knot in May 2017 at St. Mark's Church in Englefield, Berkshire.
The Duke and Duchess of Cambridge are set to christen their youngest child in a ceremony in the near future, according to Royal sources.