Had nerve block shot in back of head for migraine. 1 wk. now a thumb size depression in my head where they gave shot. worrisome?

Probably not : They likely injected botox since it was for migraine. Botox paralyze the muscke so previously tensed or spasmiic muscle are relaxes now and hence you may be feeling a depression at that area. If it wasn't botox, then i assume iys a combination of nsaid and steriod shot and that should cause depression. I would ask the doctor in next visit. But, if no pain or not increasing in size then don't worry