Your questions are great and you will figure it out.

I agree with DinahDee.
Methylprednisolone is a steroid and can cause anxiety, insomnia, mania, depression. Many patients tolerate them well, but many have serious side effects.
I was always an anxious person,but RA and steroids sent me through the roof. It’s very important to see doctors that can help you even if it means a lot of appointments and work on your side.
Check with your Rheumy if you can be tapered off of steroids, and tell him about severe anxiety.
Find a pain management doctor w good reputation- it can change your life.
Find a counselor/ psychotherapist to talk about pretty much everything. She/ he can navigate you through psychological stressors, and offer strategies to improve your anxiety level. Antidepressant can be Rx by Rhumys, PCP, psychiatrists. They can greately help . Unfortunately I had serious psychiatric side effects from ssri, snri, maoi- I cannot take them for the rest of my life. I had to cope with pain medication Tramadol which pulled me out of great darkness and despaire . Sleep medications help as well and diazepins and mood stabilizers. I made a big leap and after years I’m feeling better. I agree that just control of pain will change your outlook on everything.
Sorry I’m rambling, but I’ve been there.
Do your research, and come off of steroids. Exercise helps w anxiety.tops. Lots of Homework to do. .
We will chat more. But there are solutions. You just have to be persistent and not give up. I’ll talk to you more soon.

Jeanette,
The anxiety maybe from RA and/or the meds you are currently on. I encourage you to let your Rheumatologist know what is going on and perhaps a referral to a Neurologist that specializes in pain management is required.
I hope this helps and you get relief soon.
Our Rheumatologist prescribed a muscle relaxer vs pain meds for my daughter. She has Fibromyalgia and PCOS. The pain seems to more severe for her than for me with RA and OA.