Thanks for the query.
Your symptoms could be side effects of Depo, as it can cause menstrual irregularities, nausea
, head ache, bloating
But if you had intercourse in the period between pills and depo there is possibility of pregnancy
and also as there is some amount failure rate for depo better to check for pregnancy once.
If the test comes negative you consult your gynecologist and discuss regarding changing the contraceptive
method as you are having many side effects because of that.