I'm sorry for your loss. There is so much going on that it is quite hard to know what is the depo, what is study stress, what is bereavement and what is response to change. I'm not surprised you are shutting down a bit, I think anyone would in these circumstances.
I don't know what advice to give you except to speak to your Dr about your contraceptive choices to make sure that depo is the right method for you, and just to be kind to yourself. It's OK to look inward sometimes and have period of time where you don't want to socialise. Eventually your assignments will be completed, you will settle into your new home and the pain of bereavement will lessen slightly and you can focus your energies outward again. I'm sure that everyone will understand considering the circumstances.
In the meantime, I am sending you a hug.