It depends on the meds. They can't do tests on pregnant women, so the info they have is from years of women reporting what meds they were on while pregnant and if the child was born healthy. Some are definitely not recommended to be taken during pregnancy, others are iffy, and then there are the safest anit-depressants to be on (if you must be on any).
I was off my meds for the first 6m. and then couldn't take it any more. I was crying and the depression was debilitationg. Usually, I'll feel that way within 3 days of being off my meds, but it came on so slow during my pregnancy. When it hit, I tried to hold out as long as I could and I went on a low dose of Effexor XR. I normally took 150mg, but while pregnant I alternated 37.5mg and 75mg every other day. It was the lowest amount I could possibly take and receive any benefit. It was minimal, but knowing it wouldn't last helped a lot. Thankfully, my son was born 9/24/07, healthy.