I was curious to find that not all sites list headache as a common side effect of steroidal injections (I got them myself when that therapy was tried unsuccessfully), but in poking around, I found this:

Epidural Steroid Injections: Risks and Side Effects

I think it's worth mentioning that getting such a headache does not necessarily mean that the dura was punctured; the incidence of incidental headache is fairly common, while dural punctures are reportedly rare (0.5%). For more technical/detailed info., see:

incidence of headache in interlaminar cervical steroid injection

Doc