DEPO shot & Pregnancy🤔

My doctor told me its not good to just find out your pregnant after taking the DEPO what could possibly go wrong 😩 I still don't know if im pregnant I had an ab 9w ago at 4months baby was very sick! My test is coming up positive bt don't know if it's just the hormones still their. What could possibly go wrong while having the DEPO shot in my system and pregnant 😰😰😰