My daughter was born at 33.5 weeks when I was diagnosed with severe preeclampsia. The steroid shot you got is intended to help the baby's lungs develop. My daughter was underweight (2 lbs 15 oz) due to my condition, but I think the average is around 4-4.5 lbs for girls at that age.
We were fortunate the only issues she had was the low weight, light jaundice (almost all preemies have this), and some anemia. She was given oxygen but never needed a respirator. For the first week or so she was fed on a stomach tube along with a bottle. She was in the NICU for 4 weeks until her weight got over 4 lbs and she was able to maintain her own body temperature.