Depoprovera does NOT work the same for all women. It only works part of the time in some women and not at all in others. There is a large majority of women for whom it works well.
My oldest child was conceived on Depoprovera. The doctor, who was stunned, asked me if I planded to name my child vera for a girl and depo for a boy considering the Depoprovera had failed. Good thing I wasn't actually taking strictly as a birth control...It was more to help out with other femal issues (which didn't work either).
However; you do NEED to take the pregnancy test to find out if you have conceived. If so, you need to STOP your Depoprovera usage IMMEDIATELY... Do not go in for another shot. The chemicals in the medication can cause issues with the pregnancy, baby or both (you could get lucky and nothing happens) if you continue to get the shots and you are pregnant.
So, yes being pregnant is a definite possibilty even on the Depoprovera. However you need to get pregnancy tested right away!
Good Luck... ;-)