Leg cramps from steroid shots?

Possibly: High doses of Hydrocortisone et al. May be associated with lowered serum calcium, potassium, & magnesium levels, which may lead to leg cramps. The condition is usually self-limiting & requires no treatment (unless the steroid is continued). However, mineral supplementation (calcium citrate, potassium citrate, magnesium) may ease the discomfort.

Unlikely: Steroid shots are used for a variety of maladies including joint problems, allergic reaction, breathing problems, etc. And it is unlikely that leg cramps is an adverse reaction from the shot.