According to Columbia University, it is rare, but possible, for a woman to menstruate when she is pregnant. In a very few cases, a woman's menstrual cycle may continue throughout the first trimester of pregnancy.
It is more likely that bleeding in the early months of pregnancy has a cause other than menstruation, explains Columbia. Light bleeding sometimes occurs when a fertilized egg is implanted in the uterus. Bleeding is also sometimes a symptom of a problem with the pregnancy. For example, in an ectopic pregnancy, the egg implants outside the womb and causes bleeding. At times, blood flow is an indication of a miscarriage. In any case, bleeding during pregnancy should be checked out by a doctor.