Physical changes are not very pronounced during the first month of your pregnancy. On the outside, you look the same as the last month, and may not even realize that you are pregnant. Your breasts begin to swell and nipples become darker due to the production of estrogen, a pregnancy hormone. You might also urinate a bit more frequently than usual as your body produces more blood.
Estrogen also increases your sensitivity to odor, which means you could develop an aversion to certain foods. Due to the hormone human chorionic gonadotropin released in your body in large amounts, you may experience some nausea and vomiting in the mornings. The nature of your vaginal discharge may be milky white, and you may notice spotting.
While your body has just started to show these tiny changes, it might interest you to know that your baby has undergone a whole lot of physical change. In this short while, the baby has grown from a single cell to multiple cells and, by the end of the first month, can be seen on the ultrasound scan as a tiny dot!