Hi,
How are you? It is normal to experience your first migraine during pregnancy. There are studies that associate migraine with hormonal changes. A headache diary usually helps. List possible trigger of the headache so that you can avoid them in the future. Common triggers include: stress, chocolate, cheese, coffee, weather and hormones. Applying a cold towel on your head and relaxation may help. If it persists , have this evaluated further by your doctor. Take care and do keep us posted.
Thyroid disease can cause these symptoms. Go see your doctor.