I am on the Depo Provera shot and I just received my first shot about three months ago. I did not get my period for 2 months and now this third month I did get it. I've had it for this is my second week now and a strange...thing came out of me tonight. I feared that it was some sort of fetus but I further looking into things and found out that thick uterine lining can also come out along with your period. Can I have more information on this? I am just unsure as to whether or not it was a miscarriage or simply thick uterine lining.