i had ante-natal depression with my first pregnancy, and hell yes it exists!
if it doesn't go away in a week or so, go see your gp or ob/gyn and let them know how you're feeling.
also, try out the PANDA website (post and ante-natal depression assosciation) and BEYOND BLUE - they have lots of tips and info.
hope you start to feel better, make sure you let people around you know how you're doing, don't be a hero, sometimes you just need help!