Will epidural steroid injections cause harm to my bones or having any adverse long term effects to my body?

No, usually. We had a recent problem with a pharmacy that provided us with a very bad batch of steroids. Drs had no idea and were blind-sided when patients developed infections. If this is a last resort for very severe pain, it is a recommended treatment.
Typicall Not, But... Epidural steroid injections and steroids in general are an accepted treatment modality for many conditions. However, steroids like most medications are not without side effects. Most are not serious. Serious side effects include the risk of a condition known as avascular necrosis that can severely damage a major joint such as a hip resulting in need for surgical intervention/replacement.