I'm a doctor- my advice would be to make an appointment to see your GP. They will know your medical history and can advise you best.
You can take some antidepressants during pregnancy if the benefits of taking them outweigh the risks (we usually recommend SSRIs during pregnancy). The risks to the pregnancy have to be weighed up against the risks of suddenly stopping antidepressant medication and the risks of not treating your depression.
We don't have a clear understanding of the teratogenic effects of psychotropic drugs, nor their effects on neurodevelopment. It is thought there is a small increased risk of spontaneous miscarriage and congenital malformation, particularly cardiovascular ones. Much of the evidence is conflicting, although the newer and larger studies are giving a more clear risk profile.
Other side-effects of the use of antidepressants (especially SSRIs) in late pregnancy is the risk of a mild transient neonatal withdrawal syndrome of the central nervous system, motor, respiratory, and gastrointestinal signs. Usually very short-lasting and benign, but babies may be more closely monitored for "jitteriness". A more serious, but rarer, potential complication is persistent pulmonary hypertension (PPHN) of the newborn, which has been associated with exposure to SSRIs beyond 20 weeks of gestation.
That said, we don't have concrete evidence that would allow us to quantify the increased risks to the foetus as a result of using pyschotropic drugs.Therefore, whether the doctor would recommend continuing your medication or not depends on the risk/benefit balance for you with regard to your health.
I don't know what medication you are on, but it may be worth thinking about whether you plan to breastfeed, as some are not recommended in breastfeeding but can be taken (with caveats mentioned above) during pregnancy. So if you do plan to breastfeed and are taking these drugs, best to switch now than post-partum/during pregnancy. It also gives you time to see if they work for you.
Bottom line is speak to your GP- or psychiatrist if you have one. Alternatively, you could ask for a pre-conception counselling appointment with an obstetrician.