Flu shots' 3 months ago and still caught the flu

I'm 9wks 1 day with my little surprise babe and my whole house is down with the flu despite having all flu shots back in September. My kids tested positive for the flu and I'm not feeling the greatest today. How in the world did we catch the flu and still caught it full blown with high fevers, body aches, vomiting, weakness, and Diharhia? Isn't the shot supposedly protection from the flu? We live in Tennessee.