Bursa injection can help soothe joint pain caused by arthritis, bursitis and other painful inflammatory diseases. A bursa is a gel-filled sac that helps muscles and tendons glide over bones. You have bursae in your shoulders, elbows, hips, knees and other parts of your body. When bursae get swollen, they can cause joint pain. But a steroid medication injected into your bursa can help reduce the inflammation and alleviate the pain.