Those types of shots are intramuscular, that is they aim for and mean to hit the muscle, not the veins or arteries. The immune system responds by flooding the area with white blood cells and inflammatory response mechanisms.
The second part is where the soreness comes in, as is the same thing your body does when you have a major injury like you broken bones, torn muscles or joint damage: get the surrounding areas to swell up and go still so you stop moving and aggravating the injury. Just happens on a smaller scale with a shot as the injury is smaller and not debilitating (usually).
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