Your first step is to talk with your doctor about your treatment options. If medication is being suggested, as opposed to or in addition to regular therapy, then you need to know what the safest options are, as well as the possible side effects. The risks of antidepressants during pregnancy have been a hot topic for years and few medications have been proven safe without a doubt during pregnancy. However, the risks of leaving your depression untreated have to be considered, too.
The particular kind of antidepressant your doc prescribes is also another factor, since some can cause more harm to your fetus than others. Depending on your particular case, your doctor may recommend lowering your dosage, switching to new meds, or stopping meds entirely.