I have been diagnosed with tendonitis in my shoulder and nothing seems to be helping pain relief, not even a corticosteriod shot, what now?

Consultation. Usually if I have a patient with persistent shoulder pain who is not getting better after a cortisone shot and it has been going on for longer that a few months, i will usually want to obtain an MRI of the shoulder. The most common issue is a potential rotator cuff tear. Not all rotator cuff tears need surgery. Many can be alleviated with a good physical therapy program.
MRI. Typically shoulder pain that fails to improve with typical treatment may need to be evaluated either by a doctor trained in sports medicine, an orthopedist, or with an MRI to make sure the diagnosis is correct.
Shoulder pain. While tendinitis is the most common cause of shoulder pain, it is also the most common misdiagnosis. I would be suspicious of the diagnosis if a cortisone shot (i assume was placed into bursa) did othing to help pain at all, not even temporarily. If true, i would get a 2nd opinion from a shoulder expert. There are other causes of pain that may be difficult to diagnose if not looked for. Good luck.