Not an expert, just my experience.
Many years ago when I had steroid injections in my hand, the pain was dreadful for about two days and then it was radically reduced.
Recently I have had problems with the rotator cuff in right shoulder. One of the GPs at my practice gave me an injection which did nothing. Slight initial pain but no pain relief.
My own GP then referred me to a specialist ortho clinic who injected steroid using ultrasound as a guide.
Oh the relief! I am now having physio vis NHS and am almost pain free and much more mobile.
My, very amateur, opinion would be that your knee injection hasn’t worked.