A shot basically means an injection (of any kind, not just for vaccination) (Vocabulary.com).
Vaccine is a general term for all types of vaccines; a shot is a vaccine given as an injection.
Fainting after getting a shot: Fainting after any vaccine is more
common among adolescents. Sitting or lying down when getting a shot
and then for about 15 minutes after the shot can help prevent
Vaccination is the act of getting a vaccine, usually as a shot.
Vaccines in the form of tablets are called oral vaccines and not shots.
There are two vaccines to prevent typhoid. One is an inactivated
(killed) vaccine gotten as a shot. The other is a live, attenuated
(weakened) vaccine which is taken orally (by mouth). (CDC.gov)