Introduction Despite the prevalence of corticosteroid injections in athletes, little is known about their efficacy in triathletes. We aim to assess attitudes, use, subjective effectiveness, and time to return to sport with corticosteroid injections compared to alternative methods in triathletes with knee pain. Methods This is an observational study during the COVID-19 pandemic. Triathletes answered a 13-question survey posted to three triathlon-specific websites. Results Sixty-one triathletes responded, 97% of whom experienced knee pain at some point in their triathlete career; 63% with knee pain received a corticosteroid injection as treatment (average age 51 years old). The most popular attitude (44.3%) regarding corticosteroid injections was "tried them, with good improvement". Most found the cortisone injection helpful for two to three months (28.6%), or more than one year (28.6%); of individuals who found the injections useful for more than one year, four-eight (50%) had received multiple injections during that same period. After injection, 80.6% returned to sport within one month. The average age of people using alternative treatment methods was 39 years old; most returned to sport within one month (73.7%). Compared to alternative methods, there was an ~80% higher odds of returning to sport within one month using corticosteroid injections; however, this relationship was not significant (OR=1.786, p=0.480, 95% CI:0.448-7.09). Conclusion This is the first study to examine corticosteroid use in triathletes. Corticosteroid use is more common in older triathletes and results in subjective pain improvement. A strong association does not exist for a quicker return to sport using corticosteroid injections compared to alternative methods. Triathletes should be counseled on the timing of injections, duration of side effects, and be aware of potential risks.