As mentioned, prednisone is a mix of naturally occuring and synthetic steroid compounds. It is absorbed in the gastrointestinal tract---which is why you are having problems on the ol' potty. If the doctor hasn't told you, and it's not on the label, i'll tell you now: make sure you take this tablet with food. Be sure to have a high fibre diet. (i.E. Oatmeal in the morning helps) to keep your system running smoothly.
However, prednisone itself will not cause any weight gain. Based on the other medications you're taking, it looks like you also suffer from a thyroid problem---which is likely the real culprit to your weight gain. Synthroid (t4) readily converts at a 4:1 ratio to cytomel (t3).. Also known as your thyroid hormone. This has a direct influence on your metabolism.
I would also question whether you should still be taking plaquenil, as it is used primarily to treat arthritis. Something that prednisone should be able to take care of.
Effexort is an anti-depressant if i'm not mistaken, and really does not contribute to the problems you're having.
I would say stick to the prednisone, but take it with food, equal hours throughout the day as it has a short half-life and make sure to have a decent amount of fibre in your diet. Your weight gain is likely how this is interacting with the synthroid. Get your thyroid checked out again and find out if you possibly have to increase your dose or synthroid to counteract the prednisone. You might also want to question using cytomel instead of synthroid as it's lower dosages, and easier for your body to process.
Also, since prednisone is very acidic and can burn a hole in your stomach (ulcer), it is consequently mildly liver toxic. You might want to jump into your local health store and pick up some milk thistle or ala (alpha lipoic acid)... Especially if you find you're having some painful urination, or your urine has a slight odor to it.
Good luck,
justin