It can definitely be caused by the shot. Some women have terrible mood swings, anxiety, and uncontrollable emotions from being on certain hormonal birth control.
I was on the shot for many years, but I never had the emotional side effects. However, I know quite a few women who did and had to stop taking the shot because it messed with their mental well-being so much. From what I've learned, the side effects that cause the emotional changes don't eventually go away. If they plague you after the first shot, they will continue to do so.
You should definitely talk to your doctor. Maybe discuss other BC options that won't wreak havoc on your emotional well-being!