Not feeling connected to baby while pregnant

Is it normal for a first time mom to not feel super connected with their unborn baby? I’m 35 weeks and it’s hard for me to feel very close to my son. Part of me is still trying to wrap my brain around the fact that I’m even pregnant. I just can’t see myself having a baby even though I always wanted a baby boy. Maybe because it still doesn’t feel real that it’s more difficult to connect. Will these feelings change, or should I be worried about depression?