Generally speaking, this procedure is safe. However, with any procedure there are risks, side effects, and possibility of complications. The most common side effect is temporary pain. The other risks involve spinal puncture with headaches, infection, bleeding inside the epidural space, nerve damage, worsening symptoms, etc. The other risks are related to the side effects of steroids, including weight gain, increase in blood sugar (mainly in people with diabetes), water retention, suppression of body's own natural production of cortisone, etc.