There are so many blood vessels, muscles and nerves in that area that it's hard to NOT be sore after an injection in your ass. I used to be on Depo (HATED it), and I don't think there was ever a time that I WASN'T sore after being injected. When they gave me my first Rho-Gamm shot during my pregnancy, they hit my sciatic. I could barely walk, and the pain lasted for over a week. That's the risk you run when you stick a needle in your bum
If you don't like the injection, there are many other alternatives to depo. If you're only on the shot because you're one of those people that can't remember to take a pill every day (like me), then you could consider the Patch (Ortho Evra), or an IUD. I was on the patch for a long time and I loved it! The only reason I'm not on it now is because I'm still breastfeeding, and the hormones aren't good for my son. And it doesn't affect your fertility - I got pregnant the first month I was off of the patch. With the shot, it could be a year or more before you could conceive.
I've known many other women that were on depo, and none of them have ANYTHING good to say about it. I'm with la petite moi on this one - I'd get off that wretched shot if I were you.