feeling alone

Here's a little back story. Back in October, I learned I have "severe depression & anxiety" so I was put on Prozac. The first dose ended up being too low, so it was doubled. It didn't take long when I realized that I was actually starting to feel better & it was a nice change. I'd been on my medicine for about three months when I found out last month I'm pregnant. Naturally, I didn't feel comfortable taking my medicine any longer knowing I'm pregnant, so I discussed with my psychiatrist & OB that I no longer wished to take it. So, against doctor's orders, I stopped altogether. I was told about relapsing back into my depression, but for some reason I didn't think it would happen. It happened & it hit hard. I still feel like I can't win. Either I take medicine & potentially harm my baby, or I continue without it & risk feeling like crap. I've thought about maybe trying alternative therapy options, but I don't know much about it. I didn't post this to only be told how "my doctor wouldn't have me take something if it isn't safe" but any input on this would be great. I don't have anyone I can talk to about this in my family & sometimes, that seems to make coping a little more of a struggle. So please, if you have any insight, I would like to hear it