This is a shared decision between you and your physician. Medical treatment for any issue falls on a continuum, from conservative (e.g. exercise) to invasive (e.g. surgery). Ultrasound-guided interventional procedures fall somewhere in the middle.
It is the job of the physician to ensure that you have explored all conservative options first, before deciding on an interventional procedure.
The level of evidence behind any procedure varies depending on the reason for it and the intended body structure. Again, it is the job of the physician to ensure that you understand each of your options, before deciding on an interventional procedure.
The below is a general guide.