Call your doctor or ask your parents to make an appointment for you. In some cases it can be normal and in others it needs to be looked at. Better to be safe than sorry.
I don't even have a monthly cycle anymore, and it's never happened before.
If you get the shot on time and as you should then possibility of pregnancy is low. There are women who have produced milky discharge from their breasts while on Depo though. Do you still have a monthly cycle? And if so does it usually come at that time, or if you don't does it happen when it used to? You can call a doctor and have it looked at just to make sure there's no problems or anything. Also if you are, don't express or squeeze your breasts at all to get it out.