If the depo shot didn't work for me, is it a bad idea to try the Implant?

Sierra
I read somewhere that they use the same exact hormones and it's just administered differently. The depo shot really didn't work for my body (lost weight, increased to severe anxiety/depression/personality changes, completely screwed up discharge that's lasted months). 
I'm all for trying a new form of birth control but I don't want to try one that'll do the same exact thing.