Injectable steroids can be very helpful for pain and swelling from arthritis and other conditions like tennis elbow. There are potential side effects to be aware of. Some are local effects like dimpling in the skin and tissue underneath or even increased pain. Others are systemic (affecting the whole body) such as muscle damage.
Most doctors agree that injections into the same joint should be done no more than once every three months. You should know this isn't based on solid research evidence. It's just a rule of thumb that doctors have adopted over the years. It may be possible to have injections more often without problems.