Must is your depression chronic and on going? Or do you feel it is a new episode caused by the pregnancy? Or do you not have any at the moment and you just have a history of it? Because all of those things would affect who is responsible for your referral for treatment if you needed it. (you don't need to answer those questions here).
If you have depression previously and it is ongoing and you are already being managed by a doctor then they should cary on. The hospital should review you too, you may need more frequent visits just to see how you are doing/check any medication you are having is appropriate etc. I would ask your midwife/hospital what facilities they have for women with depression, i.e. do they have a specialist team. Midwives and Obstetricians are there to support you and see you through pregnancy but their specialist knowledge is not depression, it is pregnancy, but they have knowledge to support you for depression or pregnancy induced/postnatal depression, under the guidance of a psychiatrist or whoever gets involved with the pregnant women at your hospital.
If it is just a history of depression then it depends on the trust what they do, usually it is watch and wait, jump in if it develops and make sure the community mw, gp and hv are all aware when you are discharged.
If you are actively feeling depressed though you will need more support potentially so they can't shrug it off as just the GP's problem, that is awful. It doesn't matter what caused it. If you feel you need more support ask questions and write to the Director of Midwifery, it isn't a bad idea. Make it factual and not emotional.