Hormones can cause depression during pregnancy, yes. It is wise to see your doctor and s/he can probably help you with this. Also, I believe, it puts you at a greater risk of depression post partum, which means you will need extra support during that time.

It is ok to ask for help, your doctor will ask you specific questions to see if you just feel a bit down or are depressed.

I was diagnosed with antental depression during my pregnancy with layla. I then went on to have bad postnatal depression.

Here is a good link:

antenatal depression