Pellet injection into magnetic confinement plasma is widely employed for plasma fuelling and impurity transport studies. While post-injection effects include changes in density and temperature, several short-lived effects have been identified during and immediately after pellet ablation, e.g. pre-cooling of the plasma core or a strong reduction in fluctuations. Here, transitory effects observed in magnetic signals during and immediately after the injection of fuel and tracer encapsulated solid pellets into microwave and neutral beam heated plasma in the stellarator TJ-II are reported. One effect is the excitation of a clear, short-lived, magnetic instability during the ablation phase of a cryogenic pellet. Another effect is a brief reduction in broadband magnetic fluctuations immediately after an injection while a third effect is frequency jumps of already excited Alfvén eigenmodes (AE) when neutral beam heating is employed. The interpretation of these effects is facilitated by signals from 2 recently installed toroidal arrays of magnetic coils that follow the helicity of this device along one of its quadrants. It is concluded that interactions between outward drifting pellet particles and a low-order rational surface lead to the magnetic instability, that pellet-induced plasma cooling induces a transitory reduction in broadband magnetic fluctuations and that plasma mass density changes dominate jumps in AE frequencies.