Depression can have serious effects on a pregnancy and sometimes it may be best to take medication. I suffer from depression even when I'm not pregnant. I went off my meds with my pregs and did ok, but this time I'm having a much harder time and will be discussing with my doctor the best alternative.
There are medications out there that women have taken during pregnancy and had no adverse affects. Zoloft is considered ok. There is a very minimal risk (less than 2-3% if I remember correctly) that the baby will develop PPHN (pulmonary hypertension) after birth. There have not been any birth defects associated with that particular medicine.
You can also look into faith based counselors in your area...many of them are free or based on sliding scales. There is also your local mental health department that can provide you counseling for free or cheap.
I think it's extremely wise to discuss this with your doctor. THe two of you can find a course of treatment that you are comfortable wtih. I can tell you from experience that something so simple as getting out of the house and taking a walk in the sunshine for a little bit each day can make a tremendous improvement in your mood.
I struggle with depression too, but everyone deals with it differently. it may help to focus on your family or try to find things that do make you happy, however if it is severe you may want to think about medication, I know during pregnancy we don't really want to take any medications, but there are some that are supposed to be safe during pregnancy, I am 27 weeks pregnant and I currently take wellbutrin for depression, it is supposed to be safe during all stages of pregnancy and while breastfeeding (and i have gotten several second opinions on this medication, to make sure it was'nt just one Dr opinion) medications while pregnant even safe ones can effect the baby, but severe depression in the mother can have a very bad effect on the baby as well (both physical and emotional). think about what is best for you and your baby and then do what you think is best for both of you! as far as therapy there are usually some places in the community that will go by your income or do reduced rates call untied way and they usually have a list of places in your area. also if you decide not to get medication or thereapy (or even if you do) watch yourself and have your Dr watch you after the baby comes, because depression can get worse after you have the baby and turn into post partum depression. I have had this with 2 out of 3 my babies and didn't even know i had it with the 1st one because i didn't know what to look for and what was normal, so it went on for a lot longer than it would have i think because i wasn;t aware. Anyway good luck and i hope something works out for you and your baby, so you start feeling more like yourself!
I'm fighting with depression, among a few other things and can understand when you say that you don't want to be put on medication. My midwife suggested it for me as well, but I refused. I can't say what would work for you because what works for one person may not work for another. For me, I manage to get through it because my fiance and little girl need me. She needs me to stay healthy so she can grow, and when she comes into this world, she'll need all my focus. Try to look for the root of where the depression is coming from. If you can figure that out, you might be able to look into working to fix it.