I think it's normal to feel nervous. It will realistically put a (potentially huge) strain on your marriage and that really is normal. The key is making sure you're in a good strong place beforehand, which it seems like you are. I would also really focus on spending time together (when you are actually living in the same place) before baby. That doesn't mean you can't be trying, but I wouldn't probably be trying until I knew we had at least 9 months to a year together before the birth. My husband and I were in a somewhat similar place because we lived apart in two different countries for two years before we got married and then started to try. It was just that life took us away because of work. Because of immigration difficulties, I couldn't get him a work visa to move and live with me, and I would have had to give up my career and whole life if we'd not lived apart for a bit. So we spent two years living on opposite sides of the world until I could move to live with him again, then we got married and started trying about 7 months later. So we had about a year and a half together in one place living a normal life again before our daughter was born. We really made the most of that time, nights out, traveling, we backpacked through India for a bit, just tried to tick everything off the list that we knew would be hard to do once we became parents.
The reality is that it is hard. And your marriage will be tested in ways you never knew it could be. But if you love and support each other and you are realistic that it will be hard but just keep working together through it, you'll pop out the other side stronger. I think my husband and I had had about 2 arguments ever before we had our daughter! But there is something about being exhausted and seeing someone else head out the door to get the night off that you never seem to get and realising that they just dumped their dirty clothes in the middle of the bedroom that will ignite anger in you that you never knew you could feel for another person, even when your relationship is solid. But I think knowing that one day it will all be fine again is really important. It will never be the same and you will never get back what you have now. It will be different, but it will still be wonderful, just in a new way. Nearly all my friends have struggled tremendously having small children, but the only ones who didn't survive it intact were the ones who probably should never had been married and having children together anyway. If your relationship is solid, you will make it through, but I think expecting that things will change and be tough for a bit helps keep it all in perspective.
It's different chapter in life. Just make sure you do everything you feel you need to do in this chapter before you decide to move on to the next one. For us, I think that was really important. That and surround yourself with other couples who are also having their first child, through a birthing class or other support network. Their support will be invaluable.