Hey Sarah,
Welcome to the boards
So the Depo-Provera is one of the three most effective forms of birth control (the other two being the IUD and the Implant). The shot is 97% effective with typical use and 99.7% with perfect use. When combined with a second method (withdrawal or "pulling out"), the effectiveness only increases. So the shot + withdrawal is 98.9% effective with typical use and 99.9% effective with perfect use. Pretty close to 100%!
But at the same time not
entirely risk-free... Are you feeling comfortable having types of sex that have the possibility of resulting in pregnancy? Is your boyfriend? If one or both of you isn't feeling comfy, how would you feel about focusing on sexual activity that doesn't include a pregnancy-risk? Like oral sex, manual sex, or other forms of kissing/touching.
If you are both comfortable continuing to have intercourse, would you want to try condoms, instead of withdrawal, in addition to the shot? The difference in effectiveness rates with those combos is quite small (less than 1%), but psychologically knowing that you have another barrier between you two might help in keeping worries at bay? Condoms also are the only form of birth control that protect against STIs.
Speaking of STI-risk, I want to check-in: Do you and your boyfriend both get regularly tested for STIs? Are you in a sexually monogamous relationship? And if so, how long have you two been monogamous?