Physical therapy can be just as effective as steroid injections
Effect of corticosteroid injections versus physiotherapy on pain, shoulder range of motion and shoulder function in patients with subacromial impingement syndrome: A systematic review and meta-analysis (S Afr J of Physiother, 2016)

Systematic review/meta-analysis of 3 studies that included a combined 452 participants
All participants had been diagnosed with shoulder impingement
Ranged from tendinitis/bursitis to partial rotator cuff tears
All studies looked at a comparison of cortisone injection alone versus physical therapy alone
The review looked at range of motion, function and pain outcomes from 1 month, to 3 months, to 6 months to a year.
Results: no difference in pain, function or range of motion in short-, medium- or long-term results between either groups
Conclusion: Physical therapy can provide the same results as steroid injections without the potential long-term side effects or harm to the tendons/ligaments of the shoulder.