That's a tough one.
The decision to take a medication during pregnancy is a very individual, personal one. I can tell you that it's fairly common for antidepressants to be taken during pregnancy these days, and most people don't have any problems.
I was on an antidepressant when pregnant with my daughter, and actually I followed a similar course as you. I was on Lexapro, and when I found out I was pregnant, I was recommended to switch to Prozac, as it was considered to be a little safer (now, the thought is that all of the SSRIs carry about the same level of risk). My daughter is fine, I had no problems. I was on medication for panic disorder, so I made the decision to stay on it, as without the medication, I was very worried I would be back to having debilitating panic, which would not have been good.
All SSRI antidepressants which the exception of Paxil are rated a pregnancy risk category "C", which is the middle of the road where risks are concerned. It means basically that while there are some risks, many times the benefits outweigh the risks. Here is a table of the risk categories, to put it into perspective for you. Paxil is a "D" rated medication:
Adequate and well-controlled studies have failed to demonstrate a risk to the fetus in the first trimester of pregnancy (and there is no evidence of risk in later trimesters).
Animal reproduction studies have failed to demonstrate a risk to the fetus and there are no adequate and well-controlled studies in pregnant women.
Animal reproduction studies have shown an adverse effect on the fetus and there are no adequate and well-controlled studies in humans, but potential benefits may warrant use of the drug in pregnant women despite potential risks.
There is positive evidence of human fetal risk based on adverse reaction data from investigational or marketing experience or studies in humans, but potential benefits may warrant use of the drug in pregnant women despite potential risks.
Studies in animals or humans have demonstrated fetal abnormalities and/or there is positive evidence of human fetal risk based on adverse reaction data from investigational or marketing experience, and the risks involved in use of the drug in pregnant women clearly outweigh potential benefits.
FDA has not classified the drug.
Talk with your doctor, your husband (SO) and decide how you want to proceed. I know for a lot of women it's a very tough decision. Whatever you do, don't just abruptly stop taking either medication (are you already taking the Prozac or still on the Zoloft?) It's important to be tapered off these kinds of meds.
Best of luck to you, congrats on your pregnancy, enjoy it!