Shot vs pill

so I’ve been on the depo shot since last year and I feel like sad all of the time and I’ve had really bad headaches. I have a decreased sex drive and have started having super bad anxiety that I’ve never experienced. I’ve been thinking about switching to the pill but with the shot I have no periods and only have to get it every 3 months. I hate the side effects of the shot but I am scared I’m going to miss a pill. Should I switch? What are your experiences on the pill?