Frequent urination, stomach aches and lower back pain are not usual side effects of the contraceptive depo-shot. Instead, nausea, vomiting, sleepiness and changes in the menstrual period could be side effects of depo-contraception. Unpredictable âperiodsâ are the most common side effects of depo-contraception. If the âperiodsâ are too heavy you can stop using depo-shot contraception. The symptoms you describe, however, could be due to a urinary tract infection. You can consult your gynecologist to follow up.