An allergy is when your immune system mistakes a harmless substance for a dangerous one and triggers the release of chemicals into your body, thus creating symptoms like runny nose, sneezing, watery eyes, itching and in some cases, more serious symptoms like coughing or wheezing, swelling of the throat and tongue, and in the worst case anaphylaxis.
Allergy shots increase your tolerance to the harmful allergen. By injecting gradually increasing doses of the offending allergen extract, the immune system builds up a tolerance to that allergen so that it is no longer seen as a threat to your body. Allergy shots slow down and reduce the production of the IgE antibody. You can think of each shot as adding a brick to the “wall of protection” against things that trigger your allergies.