He would definitely question his identity. He's always seen himself as a male hero, and now this completely changes his self - perception. He might wonder if he can still be the same person who fought Voldemort. His masculinity would be a big part of this identity crisis. He'd be in a situation that goes against the traditional male role in society, both the Muggle and wizarding society. And he'd have to reevaluate what it means to be strong and brave in this new context.
The pregnancy would force Harry to look at his life from a completely different perspective. His identity as 'The Boy Who Lived' would be overshadowed by this new development. He'd start to think about his family in a different way. He never really had a normal family growing up, and now he's about to start one in a very unexpected way. He might feel like he's losing his old self and struggling to find a new identity that combines his old heroic self with this new role of a soon - to - be 'parent'. He would also be worried about how others see him. Will they still respect him? Will they think he's weak? These thoughts would add to his identity crisis.