There are plenty of hormones that get released when you are pregnant. These flow through the body and some will end up in the brain. As such, there is a chemical change to the brain's usual state that will occur when pregnant. However, the degree to which hormones like oestrogen and progesterone affect the brain differs between individuals. Certainly, the brain is only exposed to more of the hormones it usually receives. There is nothing that is introduced into the brain as a result of being pregnant that you would not be exposed to at other times.