Cortisone has a lot of unwanted effects. When it works and nothing bad happens, it cuts inflammation quickly and get someone back in action fast. It cures nothing. It can, though usually with repeated injections, cause thinning of tissue. Yes, it can increase the pain, especially if the shot wasn't given in the right place. Yes, it is often given incorrectly. Without diagnostic testing there's no way to know what the actual problem is and therefore where the shot should go, and in some parts of the body without an active ultrasound to guide the doc it's easy to miss the spot with the shot. Have no idea if any of this is your problem, but yes, it could be.
Steroid injections can often feel worse before it gets better. Give it around 4 to 5 weeks and if it does not improve, go back to the doctor.