In early pregnancy, some women experience headaches, generally beginning around 4 weeks after conception. Painful migraine headaches may increases in frequency as well during pregnancy. This is most likely due to sudden increases in hormones, fatigue and overall stress. They can also be brought on by the increased nasal congestion that pregnancy can cause. This symptom may continue throughout your entire pregnancy off and on. Headaches, by themselves, aren’t a reliable symptom of pregnancy, because there are numerous other things that can trigger headaches.