See below. If there is an inadvertent dural puncture there may be a low leak of cerebro spinal fluid from the spinal canal. This can cause a headache that is worse when the patient is upright. This problem usually resolves after one week. It can be treated conservatively with fluids, caffeine and rest. It can also be treated by an epidural blood patch.
Maybe a headache. When this happens, the needle actually enters the space where the spinal fluid circulates instead of staying within the epidural space. This can cause a headache, which isn't dangerous but can be a fairly severe headache. Usually it will go away on its own. Sometimes other treatment is needed if the headache is severe; the most common is called an "epidural blood patch".
Sometimes nothing... sometimes a headache, which can be treated. Dural punctures are performed all the time on purpose for diagnostic purposes, so an accidental one is not a major problem.