Depo-Provera and depression anxiety

Well ladies, I don't really have much to add. Weight gain, depression, anxiety, loss of sex drive and as many of you have said the mental problems are the worst.
In high school I tried "the pill" despite my better judgment. Ironically the female doctor I had requested did not believe me when I told her my regular migraines were caused by estrogen. Predictably I became extremely aggressive and angry.Since then I had been taking a pill with no estrogen, a once a day birth control pill, the kind you have to take at the same hour every day.
I changed over to Depo-Provera because I don't trust myself to take a pill with in an hour window. And because with out some sort of birth control I'm worried I might bleed to death. During the short period between the once a day pill and the shot I bled through two tampons and a pad in under five minutes.
I pushed through all of the horrible side effects of the first year, weird bleeding weird discharge. All the ups and downs.
I am glad to say I have no more period.
But I don't know what to do, I'm losing my friends, my life, and myself.
I'm starting to feel like this whole birth control thing is just one big joke. Or worse some sort of sick punishment.
I don't understand how these medications get passed inspection.