The MHRA advises people to have a conversation with their prescriber about the risks and benefits of taking them, and understand the potential side-effects by talking to a doctor or pharmacist.
It has acted now because it has received around 40 reports relating to pregnancy made to its Yellow Card scheme, where the public can report suspected side-effects of medicines. Some of these have been unintended pregnancies.
Dr Alison Cave, chief safety officer at the MHRA, said there was evidence from animal studies "that these medicines may harm the unborn baby".
"But we don't know whether we have the same effects in humans, so much more data is needed to determine that."
Women of child-bearing age are usually not included in clinical trials, which is why there is a lack of safety information for them.
"If you are taking this medicine and you are pregnant, you should talk to your doctor about stopping the medicine as soon as possible," Dr Cave said.
Sukhi Basra, vice-chairwoman of the National Pharmacy Association, said women should visit their pharmacist for advice if they are confused about when to stop using the drugs, and always buy them from an official pharmacy.
Dr Bassel Wattar, pregnancy expert and consultant at Epsom and St Helier University Hospitals, said the implant or the intrauterine coil offered "more robust contraception" than the oral combined contraceptive pill while taking the injections.
Losing a lot of weight can sometimes help some women restore natural ovulation and boost their chances of becoming pregnant, but he said this should be planned under the care of specialist doctors "to ensure a pregnancy can be planned safely after a washout period off these drugs".
BPAS, the British Pregnancy Advisory Service, says women in the UK "face significant challenges" when trying to access their contraceptive method of choice.
A lack of appointments, long waiting lists and high costs are just some of the barriers they face, BPAS said, as it called for a better plan for providing the choice women need.