Although intra-articular corticosteroid injections (IACI) are commonly used for the treatment of knee osteoarthritis (OA), there is controversy regarding possible deleterious effects on joint structure. In this line, this study investigates the effects of IACI on the evolution of knee OA structural changes and pain. Participants for this nested case–control study were from the Osteoarthritis Initiative. Knees of participants who had received an IACI and had magnetic resonance images (MRI) were named cases (n = 93), and each matched with one control (n = 93). Features assessed at the yearly visits and their changes within the follow-up period were from MRI (cartilage volume, meniscal thickness, bone marrow lesions, bone curvature, and synovial effusion size), X-ray (joint space width), and clinical (Western Ontario and McMaster Universities Osteoarthritis Index [WOMAC] pain score) data. Participants who received IACI experienced a transient and significantly greater rate of loss of the meniscal thickness (p = 0.006) and joint space width (p = 0.011) in the knee medial compartment in the year they received the injection, compared to controls. No significant effect of the IACI was found on the rate of cartilage loss nor on any other knee structural changes or WOMAC pain post-treatment. In conclusion, a single IACI in knee OA was shown to be safe with no negative impact on structural changes, but there was a transient meniscal thickness reduction, a phenomenon for which the clinical relevance is at present unknown.