Bleeding during sex, does it have to do with being on the Depo shot?

I’m on my 2nd dose of depo shot. I have the same thing!! Every time I have intercourse I started bleeding. I would like to know is that normal?

Yeah, that's really common. I had it.
When the neck of the womb is knocked against by your partner, during intercourse, it loosens any build up of the lining of the womb (that build up also common on Depo).
They sorted it for me by bringing my shots forward. We tried different durations, but found if I got my shots every 10 weeks, I got no interim bleeding.
All the other hormonal symptoms you mentioned, are also common with Depo.
Make sure you follow the Manufacturer's advice, & don't stay on it longer than 2 years. They say it's not for long term use, unless you have no other option for contraception.
If you have no other option, then they advise taking breaks every couple of years, to rest your body from the Drug.
There are a lot of long term diseases associated with Depo, so you have to weigh it all up.
I was on Depo for 18 years with recommended breaks. I now don't touch artificial hormones.