What is recommended if lumbar epidural steroid injections don't work?

Difficult to answer : Nobody can answer the question without knowing why the injection was done. Ask the doctor who performed the injection or look for a second opinion.

Depends...: This is a broad question with many variables including the underlying nature of your spine disease. I would strongly recommend discussing with your doctor who performed the injection and clarify what the intended outcome was supposed to be or what the goal of the injection was (i.e. Pain relief).

Spine Pain Options: This chronic pain in the distribution as you suggested is the result of an irritated nerve or facet joints or other injury typically in the lumbar spine (low back) which are caused by herniated disks, spinal stenosis or degenerative disc disease, etc requiring further evaluation by a spine specialist and may be candidate for facet injections/radiofrequency ablation and epidural steroid injection.