You need to understand that it can take a while for the steroids to kick in. Feeling better the same day you started them is likely a placebo effect.
I have neuropathy in my feet/hands that causes a lot of burning/pain. Have you seen a neurologist to see if that could be your problem? There are medications that can help alleviate the burning/pain. One of the main ones is Duloxetine, which is a generic for Cymbalta. I take that for my neuropathy… It helps considerably, but doesn’t eliminate the pain.
If you look it up, Cymbalta (Duloxetine) is listed as an anti-depressant, but it’s used “off label” quite often for pain.
Check with your doctor and see if that might be possibility for you.