Here is a study of exactly what you are asking:
Epidural steroid injections do not induce weight gain.
Department of Anesthesiology and Intensive Care, Pain Clinic, Chaim Sheba Medical Center, Tel-Hashomer, Israel.
Neuraxial administration of steroids have been used in clinical practice for more than 50 years and have a well defined place in the treatment of radicular low back pain. However, steroids have widespread effects on almost all body systems, such as suppression of the pituitary-adrenal axis with consecutive weight gain and osteoporosis.
We prospectively evaluated the effect of three consecutive epidural steroid injections with 40 mg. methylprednisolone acetate once monthly for 3 months on weight gain. The study population included 108 patients, who attended the pain clinic for chronic low back pain. Completed data were available for 100 patients.
We found no significant change in weight after administration of a series of three-epidural steroid injections.
It appears that neuraxial steroids administration doesn't induce weight gain.