How long do side effects last from a depo medrol 80mg cervical epidural steroid injection? I have had severe anxiety for 5 weeks now since this inj!

That's very rare. Steroids can make individuals feel jittery, anxious, hyper, etc. but usually only for a few days after an injection. Time to see a primary care physician to further address these issues. .
Finished. Any systemic reaction to the steroid in an epidural steroid injection should be well passed by 5 weeks post injection. You might consider a general check up with your medical doctor as a good place to start.
Steroids/anxiety. I would not think that the anxiety that may be caused by a single injection of steroids would last five weeks. I would consider alternate causes of your anxiety symptoms at this point.