I was on depo for 4 years (started at 22) and never had such a side effect as this. However everyone's body is different. What I wish someone had told me (doctor or ANYONE) was that when you get off the depo you can gain MORE weight, your periods may become worse, and it can take 1 to 2 years for your menstrual cycle to return. There is a lot more to take into consideration than conveneince with this drug. If you are already having side effects only 3 days in I would talk to your doctor asap.
These are side effects of starting the depo, it will go away eventually but don't worry