Depo shot??

So, I've been on 3 different birth control pills now and each one has caused me it's own individual problems. The first had me constantly nauscious and vomiting, and the second just dried me out to where sex was causing me pain within the first minute. Any advice? Anyone want to share their experience on the depo shot? I want to be protected but at the same time  I don't want to sacrifice my health for it.