It's very common for women to get depressed during and after pregnancy. it's good that you recognize it and want the help, lots of women don't seek it. tell your doctor about the feelings you have and they will figure out a way to help you relieve that depression and stress. women get through it all the time :) just ask for help, be open to what they say, and you will be okay :)
You can get help without anything bad happening to your baby. Try planned parenthood or your local mental health center for more resources. Its understandable to feel depressed. You have a lot ,going on.
Did you have your baby already?