I went on Depo when I was 17 years old. Within five months I had gained about fifty pounds. I eventually went off the Depo three months later, but it took two years (yes, it can take that long for side effects of Depo to wear off) for me to be able to lose the weight. NOTHING would work.
I also got started to get horrible migraines (which I still suffer from today) and hair in places one should not get hair.
Obviously some people are fine when they take Depo, but I would never take the chance if I knew before what the potential side effects are.
I think if you are already prone to weight gain (you said you were trying to lose weight) that you may have more trouble with Depo as well. My US OBGYN said she would never recommend Depo unless someone could not remember to take the pill as the side effects she has seen from Depo are horrible and happen more often than not.