It's a lose-lose.
However, many thousands of women have had healthy babies while taking antidepressants. With the exception of Paxil (paroxetine) the research has not shown a strong link to birth defects. But if therapy is an option, and works, then it is the way to go.
PS: Exercise is also good, both for anxiety and the growing baby, fish oil may also help, but run it past your doctors first as I don't know what the thinking is about taking it during pregnancy.