Depo shot and pregnancy

Hannah • Twin girls born 6/26/15
So the paper that I have says depo is effective right away, so my fiancé and I had sex a decent amount, but turns out that's not true. I got the shot about 8 weeks ago when I was on my period and haven't had a period since. Then a few nights ago I started spotting a very dark brown and the last time I had spotting like that I was pregnant with my twins who will be 4 months old tomorrow. I took a pregnancy test around 3 1/2-4 weeks after getting the shot and it was negative. I know one person who got pregnant on the depo and she didn't know until she was 28 weeks and in labor! Has anyone else had a similar situation to mine? How did it turn out?