Typically contraceptives, like Depo Provera, regulate your cycle and make it shorter and more regular. If you have had vaginal bleeding/a period for a month or more you need to contact your healthcare provider. This could be a negative side effect of Depo Provera. It may be necessary to switch the type of contraceptive you are on. Just because you have negative side effects with one does not mean you will with all of them.
As the other poster said, no contraceptive is 100% effective. However, Depo Provera is extremely effective when used correctly.
I would more believe that your problem is a negative side effect of the Depo and not pregnancy. If you are concerned about pregnancy, take a pregnancy test to find out.