I don't want to take depression medication, because of the pregnancy. Any ideas for coping with this?

Be open !!! Make sure you talk to your family and friends about how you are feeling regularly . Also speak to your doctor . There are counselors and support programs available to help you so don't be afraid to ask for help nobody will judge you . Good luck !
Get educated. There are anti-depressant medications that are worrisome during pregnancy. However, there are also some that are not as worrisome. It is important to realize that baby needs a healthy mother to thrive, so finding a good balance of safety and treatment is important. If you can make it with counselling fine, but you do baby no favors by getting into trouble in the belief you must avoid meds.
Psychotherapy. Is the first line of treatment for depression, particularly mild to moderate depression. However, you must understand that everything in life is a risk vs benefit analysis. Depression also can have negative consequences for the baby and certainly severe depression with changes in sleep, appetite and energy is likely to have negative effects for the baby.