I had unprotected sex during ovulation and I never did have my period last month. I woke up this morning realizing that I had started my period and its almost 3 weeks early. Should I be worried?

So three week early or is the other period, one or two week late ?

You never mentioned taking any pregnancy test ?

Periods can sometime vary greatly,

Nothing you have said so far seems to be any reason for concern. Unless you are leaving something out.