I received the depo shot April 21st and I was also on my period. I had sex the 2nd, 16th, 19th, 21st 23rd, 30th of May. My period was suppose to come back on the 19th of may, but it didn't. Everyone said it was because of the shot. But now I'm experiencing some bleeding just like implantation bleeding, but I'm not sure.

Any time you have sex, even with protection and birth control, you can get pregnant. There are only a few exeptions to this (menopause, full hysterectomy)

So keep in mind, even on birth control, its not 100% fool proof.
While it does make it unlikely, its always possible. And always a good idea to be sure. Take a test, see your doctor.
And good luck.