Hi again...and Welcome. :)
Just speaking for me, I've only had cortisone shots in my knees twice. Mine seems different than your experience. The first time many years ago, my knees were were sore and so full of fluid that I didn't feel any of the needles. I thought: Hmmm, that was easy and wobbled away.
Ugh! The second time a couple years ago, my left knee was in such pain that I phoned my Rheumy and told him that I wanted a new knee. He said that I was too young. What??? He then told me to come to his office and he'd give me a cortisone shot. He felt my knees, gave me the freezing shot(Ouch), then the cortizone(Oouucchh!). Well, I screamed so loud that I think I scared most of the Patients and Staff in the waiting area. 
He then asked me if I needed a shot in my right knee. No thank you! It's not too sore anymore.
If I heard him right, he said that when a joint is painful from inflammation and full of liquid the needle doesn't hurt much. But when the knee is painful with little or no fluid then the shots are painful. Anyways, my knees are doing somewhat better, so I'll keep them till I get older, I guess. I'd like to hear other Peoples' knee/joint experiences also.