Will an epidural in my lower back cause a gain in weight, due to the steroid in the medication?

Not from just one: Retaining water would be from an overdose which would be unlikely to happen since the steroid stays in the back (in the epidural space) and very little enters the systemic circulation.

Yes/No: Generally steroids can cause your to retain water, which may make weight gain appear. This is usually reversible once steroid wears off. However, steroid also make you hungry and if you eat more because of that then that weight is real and will take diet and exercise to remove.