After how long of taking one dexathemasone injection you should start feeling the side effects ?

Depends: The side effects are variable among individuals but nervousness and insomnia may happen a few hours later. If you received only one shot, no long term side effects is expected. You should not get cortisone shot for food allergy however.

Dexamethasone: First of all, you may not feel any side effects whatsoever. It depends on the dose of Dexamethasone and the reason you had it injected, but it's not common to experience any side effects.