I also experienced a worsening of depression/anxiety when I was pregnant, although I only have one so far. It was pretty hard.
I've also struggled with depression and anxiety for years, as well as self-injury. It can be really hard when people just don't get it.
I stayed mostly off of meds during my pregnancy. I did get a prescription for xanax (generally not used during pregnancy, mostly becuase of dependency issues) and ended up taking it twice for severe anxiety episodes.
Other than those very acute episodes I mostly got through it by staying honest with my family and explaining to them what was going on. I reminded them my DH a lot about how depression works and how the things that helped were things like helping me get things done rather than telling me to do them. I tried to remember all the things I do do to keep depression in check, like walking and eating well. DH and I did *a lot* of walking this past winter when I was pg.
Finally, I don't know if this is possible, but sometimes when DH just doesn't get it and I'm too stressed/anxious/depressed to try to work stuff out with him about the stress/anxiety/depression, I have an older friend, a mentor really, who can talk to DH about it. I know a lot of people aren't really comfortable having someone else so close to what is going on in their marriage, but DH and I have found that letting this friend occasionally help us out in this way by reminding us how to take care of each other in times of stress can really prevent us from being less than supportive of each other. So perhaps if you have a discreet, sensitive friend he or she could try to talk to your DH about appropriate responses to this illness.