What healthy food could I eat during my pregnancy so I won't gain much weight? Could I work out even though I am one month?

Many options. Be sure to eat a well balanced, nutritious diet containing lean protein, fruits, and vegetables. Avoid raw or undercooked food, as well as soft cheeses as they could contain bacteria that might harm the fetus. You can also take prenatal vitamins to supplement. Light, non-strenuous exercise is okay too, as long as you used to exercise before you became pregnant.
Exercise. You can safely exercise throughout your pregnancy as long as you are healthy. After about 5 months you need to watch your pulse (keep it below about 140). The best way to eat is to keep a well balanced diet with plenty of fresh foods. Avoid fried/processed foods and eat complex carbohydrates with a low glycemic index.
A balanced diet. Pregnancy requires a balanced diet consisting of the 4 basic food grroups, with fruits and vegetables atop the list. They contain many of the vitamins used as growth factors to aid a developing fetus. Grains and cereals, followed by dairy or calcium substitutes will minimize unhelathy weight gains during pregnancy. Don't forget a prenatal Folic Acid containing daily vitamin. Exercise, yes!
Foods. Mininize carbohydrates if you want to avoid excessive weight gain. Foods and drinks with high fructose corn syrup should also be minimized. No artificial sweeteners ! organic foods are a better alternative to gmo's or genetically modified organics. Adjust your workout to a lesser strenuous form. Avoid exercises that requires laying on your back after 20 weeks of pregnancy. Stay hydrated.