Firstly, ensure that it is nothing serious or an emergency. For a lot of pregnant women, the growth of the baby pressing on their diaphragm can cause breathing to be laboured. Listen to your body and don't overexert. Rest and take a break if your actiivities are causing your breathlessness. Look out for one-sided leg swelling. You could also prop yourself up with more pillows when sleeping. Very often, when you're lying down, your baby pushes against your lungs, so sleep on your side from the 3rd trimester onwards.