When I was on the depo shot I was very depressed and over time I began not to have my cycle. I started to gain weight also. After getting off of the depo shot it took me over a year to get pregnant. On the pill I don't have any of these problems at all. The only thing my doctor had told me was that everyone is different on their hormone levels and that is why we respond differently. I have a few friends that have been on the shot in the past and loved it. It also could just be the pill that you are on that is causing the problems. When I first got on the pill I had to try a few different ones before we knew which one was the right one to use.