After getting an allergy shot, how soon can you exercise?

30 minutes. After an allergy shot, you need to wait in the office at least 30 minutes to be certain there are no reactions, so unless there is a treadmill in the office, you can't really exercise then. After that though, if you feel fine, there is no reason to wait to exercise.
Wait longer. Because allergic reactions after a shot can occur up to 2 hours after you receive it, you should not exercise for that length of time. Most, but not all allergic reactions develop within 30 minutes.