*Wouldnt suggest depo first*
I believe you should have one cycle before starting birth control. And I would suggest depo first because you shouldn't be on that for a long time. I would go with the pill. There are some risks with depo, like you gain 15 pound, your bones can become weak over time. My doctor told me this, im not making it up lol. I tried depo once, I didn't like it. I did gain 15 pounds, and my right hip bone seemed to hurt when I layed on it. (side my shot was given). So have your doctor explain it to you k.
Yes you should be on your period.