I had the cortisone shot a year ago for plantar fasciitis. It helped me, but it did not totally make the PF go away. The cortisone is basically an anti-inflammatory medicine that is concentrated right at the point of the inflammation. In my case, the cortisone reached much of the area of pain, but there were some areas where the cortisone did not reach, and the pain continued there.
The pain of the shot was not terrible. The key is for the DR to put the shot in the right place so that the cortisone reaches as much of the inflammation as possible.
I was also told that I could get a maximum of 3 shots, and that realistically, if 2 shots did not cure it, the odds that a third shot would help would be quite low. In the end, I only got the one shot, because it helped enough that the rest of the inflammation eventually went away by itself.
When I tried the shot, I had already tried ice, stretching, deep tissue massage, Tylenol, and everything else that had been recommended (except resting it!) And I was playing tennis every day, so it was not getting better. So I tried the shot.