The Depo Shot is the best
Depo shot and iud have the same hormones in them. It's just given a different way because depo is obviously a shot while the iud gets put inside the uterus
It would be better to try the iud first to see whether you are ok with the hormones. It can always be removed immediately and no further problems. But if you get the depo shot, you're stuck with the hormones in your veins and there's nothing you can do about it until 3 months when it wears off. That's a long time to wait if you're having a bad reaction, which is why anything is better than depo and no one in their right mind would call it "the best".