I am assuming you've seen the doctor already knowing your 5 months along? I believe it it was a risk the doctor would have mentioned it at your appointment. If you haven't seen a doctor yet it is critical to see one, not because of the fact that you had 2 depo shots while pregnant but for prenatal care.

I heard some people get miscarriages while on the shot, but I would talk to your doctor about it.

You should be ok it's just extra hormones in your body which may affect you but probably not the baby. But yes you need to make sure you get in to the dr and make sure they know you had the shot during some of the pregnancy. I'm not for sure on all this but I'm pretty sure.