Has anyone been on depo shot.

Is anyone on it or have been. This is about a month I've been on it, just was supposed to get my "period" but ended up being light spotting going on two weeks. I keep thinking oh no depo didn't work I'm pregnant... because when I got the shot I had unprotected sex with my man. Since I have been on it we have sex alot, and comes in me mostly every time. I am just worried that depo isn't working and if I should get a pregnancy test. My boyfriend keeps telling me I am lol a bit annoying actually. Because I hope I'm not.