Here's one extract from a journal article I found about conclusions of Depo:

Recent clinical issues related to the use of depot medroxyprogesterone acetate (Depo-Provera?)
ISSN: 1040-872X
Accession: 10526923
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Author(s):

Cromer, Barbara A
Issue:
Volume 11(5), October 1999, pp 467-471
DMPA appears to have no apparent deleterious effect on mood. Although galactorrhea has been observed in association with use of DMPA, it appears to be a benign effect. Weight gain has been reported among users of DMPA, lasting for up to 6 months after discontinuation. However, some studies have failed to show a significant difference compared with results using other hormonal methods. There does appear to be a negative effect of DMPA on bone mineral density, especially among young women with long duration of use. Bone loss may be mitigated by a short duration of use and the possibility of at least partial recovery after discontinuation. Women who initiate DMPA mid-cycle should use a back-up method for 7 days. Finally, a potentially attractive non-contraceptive benefit of DMPA is its prevention of dysmenorrhea.
There are loads of studies in my database search about low-bone density, throughout the lifespan - so in adolescents and in post-menopausal women. There is a strong link for long-term use. There are some other studies relating to women's experiences and (mainly) on bone density issues, as well as perceptions of protection from STD's (!!), but I thought this conclusion was a good overview of issues studied
Also, there was a study I found there (accidentally closed the search prematurely!) that said some women reported glactorrhea - production of milk in the absence of pregnancy, immediate post-pregnancy or abortion. It's likely to be an underreported side-effect and that's why it doesn't appear on side-effects lists.
I know I don't need to studies to convince me depo is not a stable enough form of contraception to be widely used (was used a lot decades ago for some cancer and renal treatments). Not enough is known about it and I refuse to be a guinea pig for its probably long-term effects ever again.