Hi!
If you were my patient, I would advise you to go to your doctor for a check up. If you came to see me, I would test for a urinalysis and also for sexually transmitted infections such as Chlamydia and Gonorrhea. Those can cause pain during intercourse, as can a bladder infection.
The Depo may be causing irregular bleeding--that is nothing to worry about as long as you are up to date on your shot.
Good luck!
Dr B