Exercise while pregnant

I knew this was going to happen. Before pregnancy, I usually went to the gym 3-4 times a week, for a mix of spin, Pilates, and other fitness classes. I am currently somewhere between 6w6d and 7w4d pregnant with like no symptoms, saw my bean this week and saw (not heard or got a number) the heartbeat, have good hcg levels, but this is my first pregnancy and I'm scared to death. Like major, massive anxiety that something is going to go wrong. I have undiagnosed anxiety in my regular life that has gone through the roof since finding out we are pregnant.
Anyway, I have seen two doctors who both said it was okay to continue exercising as I've been, just not overdoing it. But I can't bring myself to go, especially to
Spin. I'm scared I'm going to hurt the baby or cause something to happen. I have been in all the different classes with multiple pregnant women (even a class where the spin instructor herself taught until she was 8 months pregnant!!) and I know exercise is good but my fear is just overwhelming. I always knew this was going to happen. Did anyone else have this problem or could speak to it?