Okay I'm On The Depo Shot And I've Been Onit

Okay I'm on the depo shot and I've been onit for about 8 months now ...not long after I started burning and bleeding when I went to the bathroom maybe a week later and it's been happening ever since and it's torture. I run to the bathroom and half the time I don't even need to pee. I asked my doctor she said it was a uti gave me pills for it and it came right back . Could it be the Depo shot doing this ?