The limited evidence that's available suggests that it's probably safe to dye your hair during pregnancy. The Organization of Teratology Information Services (OTIS), which provides information on potential reproductive risks, says that animal studies are reassuring and that there are no reports of hair dye causing changes in human pregnancies, despite the fact that many women have coloured their hair during pregnancy. OTIS also points out that very little of the chemicals in hair dye is actually absorbed into your system.
That said, if you're still concerned, consider waiting to colour your hair until the second trimester, when your developing baby is less vulnerable. Also, instead of using an all-over hair colour, consider a process like streaking, highlighting, painting, or frosting, in which the chemicals have little or no contact with your scalp. (Any hair-colouring agents absorbed into your system would come through your skin, not through your hair shaft.)
You may have heard that vegetable dyes are a good alternative if you want to avoid using synthetic chemical agents during pregnancy. But buyer beware: Check the ingredients on so-called natural and herbal preparations before buying. In addition to the various "natural" substances listed as ingredients, you'll often see one or more of the very same synthetic chemical compounds (such as p-phenylenediamine, dihydroxybenzene, and aminophenol) that the major cosmetic companies put in their permanent and semipermanent dyes.
Pure henna (Lawsoniainermis) – a semipermanent vegetable dye that's been used for thousands of years – is considered safe. The downside of henna: It's quite messy to use, has to be left on for a relatively long time, and imparts a red-orange hue that you may not like. Note that henna products that come in other colours or are fast-acting are not pure henna and may contain synthetic chemicals or potentially risky metallic compounds.
It's important for women to feel good about themselves during pregnancy. Whether colouring your hair will make you feel good or cause you to worry needlessly for nine months is something to think about. If you do choose to colour your own hair, wear gloves and work in a well-ventilated space to minimize your exposure to the chemicals used in the colouring process. Don't leave the dye on any longer than necessary, and thoroughly rinse your scalp at the end of the process.