University of Queensland researchers analysed the treatment of tendinopathy in more than 2,600 patients from 41 previous studies.
Experts say exercising the affected area is preferable.
When analysing the trials, they assessed the clinical efficacy of the treatments in the short term, intermediate and long term.
They also analysed different areas of tendinopathy, like rotator cuff tendinopathy (shoulder) and jumper's knee.
Writing in The Lancet, the authors concluded: "Our systematic review challenges continued use of corticosteroid injections by providing strong evidence that they are worse in the long term than are most conservative interventions for tendinopathy."
This was particularly true for the treatment of lateral epicondylitis, known as tennis elbow.
The research found that in treating tennis elbow, corticosteroid injection had a large effect on reduction of pain compared with placebo in the short term, from three to six weeks.
In fact, researchers found that it made the pain from tennis elbow worse. Tennis elbow is most common in people between the ages of 30 and 50 and is caused by a strain to the extensor tendons in the forearm.
Any activity that involves heavy gripping and twisting of the forearm, not just tennis, can cause this type of strain.
Writing about the findings in The Lancet, Dr Alexander Scott and Dr Karim Khan from the University of British Columbia in Canada, recommend exercise as the best way to cure tendinopathies.
"Specific exercise therapy might produce more cures at six and 12 months than one or more corticosteroid injections."
Dr Khan said: "It sounds old-fashioned but specific exercise programmes are better than rest.
"Exercise stimulates the tendon to repair by stimulating the tendon cells to make new proteins. "Tennis elbow and other tendinopathies have been shown to be a failure of tissue, not a result of inflammation, so exercise is the right thing to do."
What is tennis elbow
The Lancet Medical Journal