The most common treatments for depression during pregnancy include support groups, individual psychotherapy, medication, and light therapy. Light therapy would be used for women suffering with seasonal affective disorder, which affects some people during the winter when there is less light.
Probably the most important treatment is for a woman to be able to talk about her feelings with someone--a partner, family member, friend, or health care provider. Most people are glad to help, but it's important to ask for assistance and let them know what's going on. An ongoing support group of others facing similar problems can help women not to feel so alone. Individual psychotherapy can also be helpful.
A woman's physician may want to prescribe an anti-depressant. Certainly if she's been taking an anti-depressant and has become pregnant, she should not discontinue using it without first talking with her physician. Some research indicates the use of SSRI's (selective serotonin reuptake inhibitors such as Prozac and Celexa) during pregnancy can cause miscarriage or birth defects, but other studies do not bear this out.
The FDA in 2004 warned against the use of SSRI's in the third trimester, based on studies showing "withdrawal" symptoms of jitteriness, difficulty feeding, and breathing problems in babies exposed to them through the placental barrier. The results of the studies are mixed, and are generally inconclusive. It comes down to an individual decision between a mother and her doctor, weighing the potential risks and benefits to both mother and baby.