[Purpose] This study aimed to determine and compare the effectiveness of extracorporeal shock wave therapy and local corticosteroid injection in patients with lateral epicondylitis. [Subjects and Methods] Sixty-four patients with lateral epicondylitis were randomly divided into extracorporeal shock wave therapy and steroid injection groups. Patients were evaluated using hand grip strength, visual analog scale, and short-form McGill pain questionnaire at baseline and at 4 and 12 weeks post-treatment. [Results] Both groups showed statistically significant increase in hand grip strength and decreases on the visual analog scale and short form McGill pain questionnaire overtime. There was no statistically significant difference in the percentage of improvement in hand grip strength and on the short-form McGill pain questionnaire between groups at 4 weeks post-treatment, whereas the extracorporeal shock wave therapy group showed better results on the visual analog scale. The percentages of improvements in all 3 parameters were higher in the extracorporeal shock wave therapy group than in the injection group at 12 weeks post-treatment. [Conclusion] Both the extracorporeal shock wave therapy and steroid injection were safe and effective in the treatment of lateral epicondylitis. However, extracorporeal shock wave therapy demonstrated better outcomes than steroid injection at the long-term follow-up.