If the depo is working, but you do not like the bone loss associated , why not try a "mini pill"... It has the same hormone as depo, however in a much smaller dose, and is safe :)
I cannot use any type of hormones, so I have a copper iud, but low dose pills are great for depression.
Loestrin is a good one, and actually nuva ring is tolerated very well in women who cannot tolerate most pills..So just in case you have another option.