Allergic reaction to depo provera shot?!

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Your first shot causes your body to react immediately to overcome the 'new' chemical introduced to it and in doing so, it kinda builds up a defense against it; antibodies of you like.

The second shot comes along and the body thinks, ok, I remember this before. Releases the same antibodies again but overdoes it to counteract the second attack from the new chemical.

The same thing happens when giving intravenous medications. The doctor may give a strong or new dose for the first time (or at least monitor closely) but the nurse gives the second dose which is far more likely to cause a reaction the second time rather than the first.
Same thing as developing an allergy. First contact may just cause a mild reaction. Second and subsequent contact may be much worse.