I'm 15 and on the depo shot

Everyone in other communities keeps saying I'm fine if I'm on depo... but it's not a 100% give?

As of today, I had unprotected sex with my boyfriend (hes clarified he would stay if an unexpected pregnancy would happen)

He didnt finish in me at all, but it was really rough.

I had finished my period (the shot is still messing with my period) 2 days before and thought nothing of it. But he noticed my underwear after. I randomly had started bleeding in the middle of it.

Should I be worried or get a test? Or sit & breathe it out..? Cause we've had a pregnancy scare before, I dont wanna freak if theres no need to