Therapy, poss. meds. Depression during pregnancy is more common than often thought. (many believe pregnancy prevents depression, not true.) psychotherapy is the first choice, to avoid exposing the fetus to meds. But it's better to take antidepressants, usually ssris, than to stay clinically depressed while pregnant. Depression itself can harm your unborn baby, so the risks must be weighed. Talk to your doctor.
See your doctor. Have a frank discussion with your doctor about your depression as depression itself carries risks for the baby.
Pre natal depression. I suggest you check out the women's mental health program run by susan kornstein at vcu. They have a great deal of experience helping pregnant women with depression.