I've never had the shot but with other birth controls that I've had my doctor told me to use condoms for a month until my body was used to the hormones and it takes time before it works. I don't think hormonal birth controls work immediately and that's why you should use condoms to prevent pregnancy
You should be fine. These just seem like some side effects from the Depo.
Your stress is only going to stall your period even longer so just stay positive, eat healthy and get good exercise.
If you had unprotected sex a week ago, then it's still pretty early to know if your pregnant or not. To still be on the safe side, in the next week or two, stop up to a drug store and grab a pregnancy test to assure yourself.
Stay positive and Good Luck !
Depo does alter your period, so you might get irregular bleeding and cramps and many others because of Depo. I would say that you must be safe for 3 months after Depo injection because this what most of girls goes for and these are the most common side effects I heard from them.