This can be Morton's neuroma, which is a nerve condition. The other possibilities to be considered are metatarsalgia and Intermetatarsal bursal fluid collections. X-rays may be needed and if they are not conclusive, an MRI is needed for the confirmation of the Morton's neuroma. Read the resources;http://www.podiatrychannel.com/mortonneuroma/index.shtml
Following measures may help you (in all the three conditions: Morton's neuroma, metatarsalgia, Intermetatarsal bursal fluid collections);1) soft-soled shoes with a wide toe box and low heel 2) cryotherapy, 3) ultrasound (iontophoresis, phonophoresis), 4) deep tissue massage, and 5) stretching exercises
6) steroid shots (which you had already)You need to take active help of physical therapist for the management.
In Morton's neuroma, if above measures are not helpful, surgery is needed to remove the neuroma.Please feel free for your follow up questions.Dr. Arun