Saints Perpetua and Felicity were martyred in 203. They were Catechumens when they were arrested.  The women are two of eight women that are remembered in the 1st Eucharistic prayer of the Roman Missal. The six others are Mary and saints Agatha, Lucy, Agnes, Cecilia and Anastasia.

From Catholic Culture:

Sts. Perpetua and Felicity
Vibia Perpetua, a well-to-do young woman and mother, and Felicitas, a slave who gave birth to a child three days before suffering a martyr’s death, were catechumens. Against such prospective converts the persecution of Septimius Severus was particularly severe. These two holy women suffered death on the seventh of March in Carthage. The Breviary relates the following touching episode:

Now the day had arrived when they were to be thrown to the wild beasts. Felicitas began to be sorrowful because she feared she would have to wait longer than her companions. For eight months she had been pregnant and therefore, according to Roman law, could not be executed before the birth of the child. But the prayers of her fellow sufferers hastened her time and she gave birth to a baby girl.

While she was suffering from the pains of childbirth, one of the guards called out to her, “If you are suffering so much now, what will you do when you are thrown to the wild beasts?” “Now I suffer,” she answered, “but there Another will be in me, who will suffer for me, because I will suffer for Him.” When she was in travail she had sorrow, but when she was set before the wild beasts she rejoiced” (Martyrology).

Finally, on the seventh of March, these heroic women were led into the amphitheatre and severely scourged. Then they were tossed about by an exceptionally wild cow, gored, and thrown to the ground.

The account of their martyrdom was so popular in the early church, St. Augustine had to remind his flock that it was not Holy Scripture.

The Passion of Saints Perpetua and Felicity is an account of their deaths. The first part was written in Latin by Perpetua herself.  The account is one of the earliest known Christian documents. You can read it here.