I'm a big fan of holistic treatments as we are very complex beings. "A pill for every ill" is dangerous and can cause other issues, especially with a growing baby inside you - NO clinical trials have been done on the effects of meds on a fetus, so the jury is very much out here. Here is what I suggest, in any combination:
Essential oils are very effective for alleviating not only physical pregnancy symptoms, but emotional ones as well. doTERRA has a line of single oils and blends that can help...you can use them topically, aromatically, or internally (depending on the oil and condition). They are certified pure therapeutic grade and have NO contraindications for pregnancy or w/other meds (which I would absolutely avoid while pregnant). I recommend -
Lavender for calm - diffuse into the air or rub on chest / soles of feet
Serenity for insomnia / anxiety (same application as above)
Balance for anxiety / nerves / acute panic
Also, really watch your diet. Depression is directly linked to excesses of sugar (basically all white, processed food: breads, candies, etc) and deficiencies in amino acids, tryptophan, zinc and B vitamins (esp folic acid). Supplement these or make sure to get them into your diet. Iron deficiency can also contribute to depression.
Make sure you're getting enough sleep and stay far away from excitotoxins - caffiene and all artificial sweeteners (aspartame, splenda, etc) as they contribute to insomnia, mineral loss, and jitters.
These suggestions may mean a big lifestyle change, but what you put into your body directly effects how you feel. You wouldn't put water in your car's gas tank and expect it to function, it's the same with your body. Give yourself and baby and great chance by eating clean and attending to your body's most basic needs. Emotionally, try to find someone to talk to...a family member, someone at church, even a board like this one can be helpful.
Good luck to you, mama.