How do I deal wit a painful and itchy thigh after diclofenac injection about three week ago to the upper part thigh?

Cause of pain? Someone needs to check if your painful itchiness is an infection, abcess or something else needing immediate attention.
See dr. Is it hot and red and swollen? If so then you should see the dr that gave you the shot. Could be that you just had a bad local reaction and application of ice, over the counter Hydrocortisone , as much Saran lotion for the itching , and some Ibuprofen or aleve (naproxen) may help. 3 weeks is a bit long so you might consider getting it checked out by the doctor . These are things you can try while waiting.