HollyDolly, I had antenatal depression too, and it was particularly bad between 20-30 weeks. I found it lifted a little towards the end of pregnancy, perhaps because I found it so physically limiting and horrible being pregnant - it was a little easier later on because the end was in sight, and I was expecting to feel physically worse than I actually did. The other thing that helped was antidepressants - I'd been on the prior to pregnancy, and my consultant encouraged me to start taking them again - the benefits definitely outweighed the risks by then, and I'm very glad I did it.
I'm now 5 weeks on from having my lg, and I'm managing. I won't lie, it's tough some of the time, but I have the massive advantage of a) knowing what it's like to be depressed and therefore being able to catch myself at the point where I haven't hit a point of no return, and b) having appropriate support in place. My HV is brilliant and offers loads of support, I have a CPN (who is crap, but that's not the system's fault!), and being consistently on the medication means I started off on a better foot than I would have done had I not been depressed before having baby.
I'm sorry you haven't had much benefit from the CBT so far - do give it a chance, but also don't be afraid to say that it isn't working for you - it isn't the only type of talking therapy available, and it never did me any good - I was perfectly capable of rationalising thoughts and feelings, it just didn't make me feel any better. Look up other types of therapy if you can, and go back to the mental health team and suggest one you think might benefit you (A few other common options: Interpersonal Therapy [IPT], Dialectal Behavioural Therapy [DBT], Cognitive Analytical Therapy [CAT], Transactional Analysis [TA], Mindfulness) - not all are available everywhere, but there will be more options than just CBT.
You will, as others have said, be happy again. And you ARE capable of looking after your baby, you just need the right support, and I think you have been wonderful and very brave to ask for it. I really hope you get what you need, and things start to look up for you.