depo Shot

I set an appointment to get on birth control next week and I chose to get the depo shot, but i wanted to know if anyone else has been on it and if so the side effects they have experience. I was before on the pills and I did great I never missed a day but it gave me bad depression and soon I started getting anxiety attacks but once I stopped taking the pills I stopped getting anxiety attacks and feeling depressed, I'm just afraid the shot might do the exact same thing but I have a boyfriend and we are sexually active and I want to be safe, we did once have the condom break so we want extra protection. Please let me know if you're on or we're on the depo shot the side effects you experienced.