Sterile water for injection is used to mix medications that are given intravenously. IM or SQ routes are contraindicated. If a product is needed for IM or SQ use that product should be NS(normal saline). However, NS is also used as a diluent for IV medications also.

The pH of sterile water is between 5.5-7.0, this is probably why it burned assuming you gave each other SQ or IM shots. The pH of your blood is between 7.35-7.45, so the sterile water is more acidic.

Nevertheless, the amount that you administered to each other was hopefully very small, probably less than 1ml. You may have had a local, self limiting reaction to the sterile water.