It can. Depression in the mother is associated with risks to the baby. The reasons aren't always clear, but consider that depressed mothers often don't eat well, and may not cooperate with prenatal vitamins or checkups. Depression can be treated with psychotherapy at no risk to the fetus, and even antidepressants can be safer for the baby than mother's untreated depression. Ask your doctor.
Depression. Maternal stressors tend to not have effects on the fetus, but new research suggests that in some cases there can be adverse effects.
Dep. in preg. Depends on type of dep., treatment received, and support system.
Dep. in pregnancy. If stabilized and your support system is strong, it should not have major impact.