Recent studies have indicated that the use of antidepressants in pregnancy can have serious consequences including low birth weight babies, and a small increase in the risk of miscarriage. This is particularly true for so-called SSRIs (selective serotonin reuptake inhibitors). SSRIs are the most common class of antidepressants, and famous drugs such as zoloft and prozac are included in this category.
The American College of Obstetricians and Gynecologists (ACOG) has given particular warnings against using the SSRI paxil in pregnancy, so if you were taking this drug before trying to conceive you should discuss switching to another before becoming pregnant.
The decision whether to take antidepressants in pregnancy is a very personal one, that requires a lot of thought. If you are struggling with this decision yourself, discussions with your doctor should have you make the choice. Additionally, only you know just how you feel and what the possible consequences of not taking antidepressants would be. You are in the best position to make the evaluation of whether you can go on without medication, or whether the risks of side effects are actually minimal in comparison to not taking medication. If you are a long-term user of antidepressants, you might want to consider seeing how you do without them before trying to find a drug that is the most suitable for pregnancy