Hi,
I am not sure about steroid injections. Acupuncture and dry needling are different however both involve inserting a needle through the skin. Acupuncture is where you insert a needle into specific points to achieve 'de chi.' This creates a physiological response within the body and can involve chemical/hormonal changes and regulation. I trained with Jennie Longbottom who was extremely good and a great teacher. Her book can be found on amazon (acupuncture in manual therapy) and courses can be found ¶¶ ALIED Acupuncture Training Courses with Jennie Longbottom
Dry needling is different and involves needling directly into the muscle into a 'trigger point.' This results in local physiological effects and can also be very beneficial. The dry needling course is shorter however with acupuncture you can achieve supraspinal and segmental effects of using a needle and I find this is hugely beneficial in clinic, particularly for providing pain relief.
My case study for the use and effects of acupuncture can be viewed here. This may just help to give you an idea of the difference as I mention both.
Hope this helps