A warm shower using soap and a wash cloth or net sponge should remove the petroleum jelly from your hair.
Be sure to use warm to hot water when washing your hair, using cold water will make it worse.
Or you can try putting about 1 teaspoon of baking soda and mixing it with a regular baby shampoo and this should help. Again, you can use some soft cloth or sponge to remove the petroleum jelly.
I hope this answer helps you!
