Yes, depression is a common side effect of steroid shots and depending on what your vet injected him with, the side effect(s) can last anywhere from 1 to 6 weeks. I have dogs with cushing's and they overproduce their own steroids and before treatment, they were very listless, sleeping a good part of the day. If your baby just received the injection, you could possibly see additional side effects such as increased drinking and urination and increased appetite. All symptoms should subside over time and your vet should be able to give you a good idea as to what the time frame is.
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