For me, the difference between normal pregnancy fatigue/irritability and depression is a persistent lack of enjoyment in things that I normally would enjoy. I haven't experienced racing or unwanted thoughts, which plagued me when I had a bout of depression a few years ago that required medication.
Fortunately, these periods have been mild and short lived (a day or two). But it was enough for me to notice. So I make sure to get plenty of rest, do things that I enjoy and appreciate them while I can (realizing my priorities are going to change soon) and let/ask for help when I'm feeling overwhelmed.
A conscious appreciation for the miracle growing inside of me and the wondrous process of growing a baby even though it's greatly changed my appearance also help.