When I talk about a steroid injection for shoulder pain, I really mean a corticosteroid/cortisone injection. This is basically a really strong anti-inflammatory which reduces swelling and pain in the affected area.
Cortisone injections are great for things such as shoulder bursitis, which can cause impingement syndrome. They get right in on the swollen sac of fluid (bursa) and reduce the inflammation.
However, there can be side-effects with cortisone injections, and caution should be observed. The placement of a corticosteroid injection can be a little hit and miss, with many doctors actually missing the right spot. And also too many injections in one spot can cause wasting and disintegration of the fatty tissues around the joint.
My advice is to try natural anti-inflammatories first. Ice, heat and gentle exercise all helps to reduce inflammation. Physiotherapy can also help, as can electrotherapy such as ultrasound. If this fails, you could see your doctor who may prescribe you oral anti-inflammatories and as a final option a steroid injection may be worth considering.