Headaches are a potential side effect with the injectable. If you have bad headaches, first think about other reasons that you may have them. Try to minimize stress, drink more water to prevent dehydration, and make sure you are sleeping enough. If that does not help, then talk with a health provider about the headaches.
Still not working? If you cannot find another reason for the headaches and want to switch methods, consider the IUD, pill, patch , or ring.
Try a different method: IUD; patch; pill; ring.

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References:

1. FPA the sexual health charity. (2017). Your guide to contraceptive injections. Retrieved from https://www.fpa.org.uk/sites/default/files/contraceptive-injections-your-guide.pdf