Hi,
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It is possible to get pregnant even while you are on Depo shot (contraceptive failure). The breakthrough bleeding generally does not affect egg release from ovary. Your symptoms are suggestive of possibility of pregnancy. The urine pregnancy test (UPT) should always be done on early morning first urine sample as the concentration of pregnancy hormone HCG is believed to be highest in this sample. UPT kits are calibrated ones, so unless the hormone levels in urine reach a certain level, they do not show positive results. They can also show false negative results. Blood/serum HCG level estimation is accurate. Look out for development of any other new symptoms suggestive of early pregnancy. If you suspect to be pregnant, consider visiting your doctor/gynecologist at the earliest for further examination (to confirm pregnancy related changes/signs in body) and blood/serum HCG level test (to confirm/rule out pregnancy accurately). Take adequate rest. Drink plenty of water. Maintain healthy diet. Do not take the next shot if you suspect to be pregnant.
Take care.