Steroids, (or more specifically "glucocorticoids," since steroids include other kinds such as anabolic steroids) have hundred of effects on the body, and there is a known phenomenon called "steroid psychosis." I think it takes a huge amount to get to that point, though. But it is "the" stress hormone, so I guess it makes sense that it makes people feel weird or wired.
They have hundreds of effects; I read somewhere they've even found that glucocorticoids have been found to activate certain genes (not the "turn into werewolf" or zombie ones, hopefully). Increases blood pressure, blood sugar, suppresses immune response, affects mood, suppresses natural adrenocortical function, promotes breakdown of muscle and increase in fat, and a bunch more. It's also implicated in some brain changes caused by PTSD.
But yeah they are tough on the body. OTOH, they can be life saving in the right context.
I've never tried it, but I've heard of local anesthetic in a lotion (like sunburn relief aloe type stuff) can sometimes help make a rash more bearable.