I was on Effexor when I became pg. I have tried Wellbutrin, celexa, Zoloft, Ativan, and Effexor. Ativan worked but not long term, only as needed to calm in crisis. Otherwise Effexor is the only drug that has ever helped me.
With that said, I did a ton of research because I was not supposed to be on it when I got pregnant. We had an oops. There are limited studies on it in pregnancy but what exists indicates it is fine in early pregnancy, but connected with issues when taken in the third trimester. So talk to your drs about the risks. I think Zoloft is considered safer if you haven't tried that yet.
As always with a class c drug it is risk vs benefit and if you are really struggling you need the help! Glad you're getting it. I'm starting to count the days till I'm done bfing and can go back on Effexor.