Apply for Section-8, but it will be a waiting list (it's worth it once you get it). You two should qualify being unemployed, though they may be looking at the fact you live with parents. Do you all live together in a 3 bedroom? Or is that you live in an attached apartment? If it is an attached I'd say stay where you are if they are providing you a place to live.
I'd also say go back to school if you want to do something that is just for you.
Depression is very normal in pregnancies though you'll want to talk to your doctor if you're still having these things after the baby is born in case it is "Post Partum Depression". Sometimes just talking with someone whose been through it helps, but most hospitals have contact with those resources to help you. They also have a social services director at most hospitals that can make a home visit once the baby is born to help you all get in contact with the right people.
Also, apply for foodstamps, etc. The baby and children will still be able to get medicaid if your monies are not over the limit. Also, apply for WIC if you're not on already. If you nurse you'll keep the same package you already have which will give you milk, peanut butter, cereal, juice, carrots, tuna, and cheese. You can do wonders with that food.
Check around for local foodshelves. Call local churches if you have to. Tell them you need help.
If you truly feel you need to leave your spouse, if he is abusive you can go to a local woman's shelter.
Can you call your parents? Are they still alive? Perhaps they'll let you stay with them until you can get on your feet.
Blessings-Anora