Hmm I dunno what's in those 'shots' you're talking about and why are you taking them? Has the depression started after that? Anyway...I heard some bad stories about Effexor and I was on that for a lil while myself but I stopped taking it cuz after 6 weeks I didn't notice any effects, I didn't even notice any withdrawal but I heard from others it can be pretty messy. Anyway mention this all to your dr, they'll figure something out most likely.