How effective is Depo-Provera if you're bleeding?

No it doesn't necessarily mean you are pregnant, especially as the depo shot is a contraceptive, it would be highly unlikely. However, if you are worried, for your own reassurane, take a pregnancy test or acquire some advise from your GP. If you've not had sex or it is unlikely for you to be pregnant at all, then blood spotting is completely normal on the depo shot, and should stop in it's own time.