Really need help!

I am currently on the depo shot as contraception, I have recently had my 3rd shot, but I was due to have my period almost 3 weeks ago and I still haven't come on. My nurse told me that sometimes the depo shot can either mess up your periods or stop them completely, but I am unsure if I should worry that I am pregnant or not as part of me thinks I could be and part of me thinks it's a result of the shot but I am really unsure. What do you think???