I don't want to develop depression in pregnancy? What's my best bet?

Several ways. If you have a history of depression, then exercise daily (especially outside) even just walking briskly for 30 minutes a day and counseling are two big ways to help prevent or treat the symptoms. If you are having depression, certainly let your obstetrician know. There are many treatments available. Eating balanced meals with lots of colorful fruits and vegetables helps too.
Tips for pregnancy. Social support helps mood in pregnancy. Getting into an exercise class --yoga or water exercise--with other pregnant women may help you make new connections and provide support.