It can happen pretty early on. The hormones of pregnancy relax your muscles so it's not as easy to hold it in sometimes, especially if you sneeze, laugh or cough. It is in late pregnancy that a more fully developed baby will put pressure on all your organs, including your bladder that will also make you take frequent bathroom breaks.

Are you thinking that you are pregnant because you have to urinate frequently? It is not a clear sign that you are pregnant: there are other causes. If you think you are pregnant, you should take a test if you have missed your period.