Venlafaxine is a pregnancy category C, meaning you would need to weigh the risk vs benefit of taking the drug. I don't know your situation, and I can't give you advice, but there have been some case studies showing fetal harm and some that have not shown harm. You should talk to your primary care physician regarding the best option for you.
You can contact your local pharmacy for drug questions relating to pregnancy. They have resources to look up the drug and tell you what class it is in and if it is safe during pregnancy.