Allergy shots help relieve allergy symptoms by changing the way your body reacts to the allergen that causes your allergy. When you receive the allergy shots, your body starts making antibodies that fight against the allergen. These antibodies help block the way your body reacts to the allergen, your Allergy symptoms become less severe. After many allergy shots you might start to feel relief from your allergy symptoms. This relief will last for a long time.