Stay Safe. If you are depressed, make sure you have a therapist and hopefully also a psychiatrist. You may be able to handle your depression with therapy, exercise and a healthy diet, but it is important to have support around you. Depression can be as serious and as deadly as heart disease and you need to make sure you have the right team.
Try it and see. The evidence shows that for mild-moderate depression, psychotherapy works as good as medication but it tkes longer. Exercise and social support (friends, relatives, unless they're dysfunctional!) can also help. If you are pretty far along the risks of medication are minimal and can help a lot if you are not managing well with these measures.
Don't go it alone! Just because you are pregnant, does not mean you do not deserve medical treatment. Pregnancy, especially post partum, can be a very dangerous time, with high rates of worsening of depression, in women with this diagnosis. Talk w/ your doctor and your therapist about your meds. Not everyone should stop meds during pregnancy. For some women, staying on meds may be better for you and your baby.