Depo: scare?

Sarah
Hi ladies! I've been on the Depo shot for about a month and a half now. I got the shot when I was in the 4th day of my period& my doctor said that it would be effective immediately because I was within the first 5 days of my cycle. Since then, when my boyfriend and I have sex, we haven't been using condoms and he's been finishing inside me. I'm aware that lack of periods is a side effect of the Depo but I haven't had a period yet, and I'm slightly worried. Should I be?