Depo Provera and depression

I got the depo shot on August 10th and having been experiencing mood swings, anxiety, and depression. For everyone that has these effects from the shot, did you go back for the second one? If so, did the problems go away, continue or did they even get worse the next three months? I've heard that the hormones can level out after couple months. This is the only issue I'm currently having with the shot and if there's a chance it will go away I would really like to get the next shot. I'm going to see my doctor in a few days but I would like to hear how other woman have reacted to it.