Depo shot + no period

Julia
Switched to the depo shot after bleeding a scary amount randomly from the pill (low hormone pill) about a month and a half ago. 
I haven't had any side effects, but my period is about 1-2 weeks late. Is this normal, should I be worried? I have had sex like twice a week for the past month, didn't use protection, he pulled out most times. I've heard sometimes your period doesn't come at all when you get the shot but that usually doesn't happen till after your second shot.