Although many pregnant women experience hormonal mood swings, in some expectant mothers it is much more serious; one in five pregnant women experiences a major depression.
A study featured in the journal Complementary Therapies in Clinical Practice reveals that pregnant women with major depression may benefit from an old recommended stress reliever, i.e. yoga.
Yoga Can Fight Depression During Pregnancy- http://www.medicalnewstoday.com/articles/248861.php 
Are you exercising currently during your pregnancy? Do you think it helps your depression at all? Do you notice a difference on the days you aren't active compared to the days when you are?