Can allergy shots cause headaches/migraines shortly after injection?

Possible: The most common adverse reactions following allergy immunotherapy (allergy shots) is a small local reaction at the site of the injection. There is the very low risk of more significant allergic reactions. Although migraines are not allergic reactions, potentially any stressful situation or trigger depending on the individual could bring on a migraine.

Yes: Allergy injections to anything can cause headaches if the dose is too strong. You may also get larger local reactions at the site of the injections. Tell your allergist and they can reduce the dose of the injections from the present dose but still make progress by increasing the dose slowly.