depo can cause side effects like headache, bloating
sensation, pain abdomen, nausea
etc, usually they will subside soon,
but according you history you are having some what severe uncommon symptoms, so if these are not getting decreased even with medication and getting repeated better to discuss with your doctor regarding changing the type of contraception
usually the depo will give better protection against pregnancy
but we cannot completely rule out the possibility as it is having some failure rate, so after getting your reports you can get clarified.