Temporary bladder control problems are common in pregnancy. You'll likely feel the urge to urinate more often, even though the amount of urine may be small. This is one of the earliest signs of pregnancy and can happen as early as one week after conception.
When your progesterone levels rise and the embryo starts to produce hCG, blood supply to your pelvic area increase. This leads to pelvic congestion. The bladder becomes irritable and tries to rid itself of even the smallest quantity of urine. Your unborn baby pushes down on the bladder, urethra, and pelvic floor muscles. This pressure can lead to more frequent need to urinate, as well as leaking of urine when sneezing, coughing, or laughing.
Call your doctor if you experience burning along with frequency of urination — it may be an infection.