And when you file for unemployment insurance, be sure that you do not try to say you are not able and available and actively seeking work because of your pregnancy. Make your appropriate job searches and fulfill all conditions of work registration.
What you will get (probably) from your employer when you file for unemployment is quite a bit more information about why you were terminated. If you were terminated, say for "poor job performance" the unemployment system will contact them, and they'd have to show documentation of how you were informed your job performance was not up to par and that you were giving warnings and an opportunity to improve this performance, and that you deliberately chose not to. This information would help quite a bit with the EEOC complaint you might or might not decide to file. As someone pointed out, if you filed it Monday, you'd be lucky to hear from them within six months.
Unemployment insurance and EEOC are not related. But any time you are terminated, you need to file for unemployment at once, so you can determine exactly what the employer is claiming as the reason you were terminated, and you get to see if they have documentation of this, or whether they really did terminate you solely because you were pregnant. If they can't show they had a good misconduct reason to terminate you, then you will likely be approved for unemployment benefits which you can draw while you are able available and actively seeking other work throughout your pregnancy and beyond if you haven't found a job.