I have been on T officially for a month and week (today being that week) and things have been going pretty swell.
of course there are no major changes thus far but I'm hopeful.

That said when I went to give myself my shot today i did everything as normal, but when i withdrew the needle what seemed like a river of blood came spewing from my thigh. I know that I didn't hit a vein so I wasn't worried as much as I was very surprised!

Has this ever happened to you? How did you react? Should I be worried after all or is it normal in a sense?

Not normal persay but it has happened to me a couple of times. (I've been on T 3 years in a few weeks.) What happened most likely was you stuck the needle through a vein, or knicked a vein. It happens. Just apply pressure and a bandaid. Stay calm and carry on hah. It'll happen from time to time. Even nurses occasionally do it. I haven't ever done it when injecting in my glute however, just my outer thigh.

It happened to me last time I did mine and I totally freaked out haha. But everything was fine. Like Sebryn said,  probably just went through a vein on the way in

This has happened to me before too. It's scary, but it also taught me to look very closely before I inject. 

This happened to me the first time I injected. I had a nurse present who was instructing me, and her reaction was: "Oh, it figures, I don't put gloves on because you're injecting yourself. Of course."
I wouldn't be worried lol.