Phillips, the daughter of Princess Anne, announced she is expecting a child with rugby player husband Mike Tindall.
She is thought to be around three months pregnant, but the 32-year-old took part at the Barbury International Horse Trials in Malborough on Saturday – during which she took a minor fall.
But The Sun claimed that, according to an aide, the 32-year-old Olympic silver medallist has "no plans" to pull out of the Festival of British Eventing at Princess Anne’s estate next month.
She is also expected to take part in three events this month, despite NHS advising against horse riding for pregnant women.
Eventing safety hit the headlines today when British star Laura Collett, a seven-times European Junior Champion and occasional senior GB team-mate of Phillips, was seriously injured in a fall at the British National Eventing Horse Trials.
Her older brother, Peter Phillips, said that any decision was "purely down to her".
The baby is due in the New Year and will be the Queen’s fourth great-grandchild following the birth of Prince William and Kate’s child, which is due this weekend.
The Phillips-Tindall child will be 16th in line to the throne.