Prozac is given to many pregnant women, but it is in class C I believe. so that means there's not really any evidence either way to show whether or not it is harmful. In many cases doctors will consider that the benefits outweigh the risks depending on how severe your depression is, bc stress and depression can be very bad for baby while in utero. Talk to your doctor and see what you think would be best. If you can manage without it then that's great but if you really need it then try not to worry too much. I am suppose to be on meds too for bipolar but am not due to the pregnancy, and I've done very well without them so far so I consider myself lucky. But like I said talk to your doctor and do what is best for you and baby. Good luck!!
When hesitant about anything I would ask a doctor because there is that intuition that tells you something is wrong. I refused any kind of medicine just to be on the safe side.. even stuff for my migraines even tho they hurt like hell lol. Good luck hope you get the answer you need.