You said you took a test four days after it was time to get the next shot. If you've had delays in your shots before that, it could be enough time to become pregnant. You don't have to have the Depo shot exactly ninety days after the previous one but you definitely don't want to wait too long. I'm surprised you were allowed to receive another shot without taking another pregnancy test. When I missed my last shot my doctor told me that I would have to pass TWO pregnancy tests before I could get the shot again.
The only effect on pregnancy that I found was low birth weight. If you really think you're pregnant you should make an appointment with an OB/GYN as soon as possible and tell your doctor your concerns.