Stress and pregnancy

I suffer from anxiety, depression, and paranoia. I've been going through SO much stuff these past weeks. It's all SO hard to handle. I know that stress is bad for a baby. And I don't wanna do anything to take this little miracle away from me. I'm a first time mommy. When I'm in stressful situations, I always think about my baby's health and that keeps me calm. But I was wondering, what does stress do to the baby that's so harmful? Why is it so important to not stress while pregnant? I'm just a little confused about what it can do to my baby. Help? Please?