If you conceived while on depo shot or took Depo Provera just after conceiving then usually there is no harm to baby. However, yes, the baby can have low birth weight or birth defects (less likely). You must immediately inform your Obs and Gyn, so that they are extra careful about monitoring your baby for birth defects and weight etc. Take care!
The medical advice given should not be considered a substitute for medical care provided by a doctor who can examine you. The advice may not be completely correct for you as the doctor cannot examine you and does not know your complete medical history. Hence this reply to your post should only be considered as a guiding line and you must consult your doctor at the earliest for your medical problem.