I was on it for a few years, and although I didn't specifically gain weight, it did stop me from losing weight. When I started taking it, I was already overweight. I cleaned up my diet and started working out with Cathe 6 days a week (I had already been working out regularly, but with videos not as intense), and lost nothing for months. After talking with my doctor, we agreed that the Depo shots might be interfering with weight loss, so I went off it. Without making any more changes to diet or workout routine, I dropped about 20 pounds in 3 months. So I think it definitely interfered.
Also, the shots are associated with bone loss, even in young women. Many women in their 20's and 30's (myself included) have now been diagnosed with osteopenia, all due to the shots. Although I loved not having periods, I am so sorry I ever did Depo -- it really wreaked havoc on my body.