Pregnant with depression and anxiety

Jessica
I'm feeling very unsure of my psychologist's decisions with my medication changes since I found out I was pregnant 3 weeks ago. I'm currently 5.6 days. I've been on and off antidepressants and anxiety meds since I was 12. I am now 28. Before I found out I was pregnant, I was taking 187.5 mg of Effexor XR daily, and 3 mg of Klonopin daily. 
I am now down to 37.5 mg of Effexor once a day, plus 20 mg of Prozac daily. I discontinued the Klonopin and take 1 mg of Xanax three times daily. This has been a nightmare! I am withdrawing from the Klonopin (which was a miracle drug for me) and I HATE the Xanax. It's not effective, it doesn't last long enough and I get to shaking and withdrawing from it every couple hours. I told my doc this but he said Xanax is way safer than Klonopin. 
I saw him again today and said I am not coping with the anxiety very well so he is switching me AGAIN to Zoloft. I feel like all of these medications are terrible for my baby and I am at a loss of what to do. 
I had my intake appointment yesterday at my OB's office. But I did not get to meet with my OB. I talked to a nurse and she wrote down all my meds without any comments. 
Has anyone else been in a similar situation and have had any problems or a healthy baby? I feel like I'm losing my mind and feel SO guilty for putting my baby through this.