I also had swollen hands with PMR, it is part of PMR in some people.
However - the fact that 20mg pred did nothing at all does make me wonder whether it is PMR at all. one of the criteria in the UK tends to be that it responds noticeably to a MODERATE dose of pred which is 15-20mg. If methotrexate was helping I would wonder if it is late (or elderly) onset RA - although it can take 6 months to work in that. There is also little point reducing a dose if the blood markers are still elevated and you have pain - unless the decision is made you might as well stop the pred. Though - in view of what I am about to say, did you stop exercising and rest during the early days to allow the 20mg to achieve something?
BUT - and this is a big but, if you are continuing to work out every day you are really asking for continuing pain if it is PMR. In PMR your muscles are intolerant of acute exercise, they are unable to tell you while you are exercising that you are doing too much and then require much longer to recover afterwards. "Training" involves the healing of tiny tears created in the muscles by exercise and once they have healed they are stronger. In PMR they don't heal so well - if you then go and exercise again you are just adding more damage and the poor muscles never get a chance to recover.
This is particularly true for the sort of exercise you do in the gym: the worst sort of exercise in PMR is repeated or sustained actions of the sort you do in weight training for example. That is what causes the pain: the same muscle fibres are being used repeatedly, the blood flow is poor because PMR is a vasculitis, inflammation of the very small arteries supplying the muscles with blood, oxygen and nutrients as well as removing the waste products so lactate builds up. The result is that your "normal" exercise programme results in the sort of reaction that you might expect after running a marathon without training.
You have a new "normal" now and you will have to adjust to it for some time - not for ever, if you go about it properly you may be back to training next year. Skinnyjonny on another forum was in a wheelchair shortly after being in training for long distance running, in less than a year he was able to run 5km. But in the meantime he followed a very gentle training regimen. If you google "skinnyjonny running PMR what a difference a year makes" you will find his post about it and can explore that forum to find his story. A warning though: often men and women respond very differently to pred and experience PMR very differently.
You have to learn to pace yourself - I'm not saying DON'T exercise, I'm saying try cutting it down to a very low level for the moment, not exercising every day, go for a gentle walk on the other days. Once your pain and inflammation is being managed well and you can reduce the pred to a lower dose, then you can think about stepping up the exercise - but VERY slowly, just a few minutes more each WEEK, not each day. This is a long term thing. PMR is a chronic illness, only 25% of patients recover in under 2 years and they remain at a higher risk of a relapse. Half take somewhere in the region of 4 to 6 years before the PMR disappears.
And since I didn't explain before: PMR is not the disease itself. It is the name we give to the symptoms of an underlying autoimmune disorder which makes your immune system unable to recognise your body as self and it attacks the tissues, damaging them and causing inflammation, pain and stiffness. It is a vasculitis, it affects the blood vessels, although in effect it is similar to RA but there the joints are damaged. Luckily in PMR the joints aren't damaged - and in the long term the left-over damage in PMR is relatively minor. It usually goes into remission eventually but you are looking at years - not a few months. Until then, pred should allow you to manage the symptoms to allow a decent quality of life. But you have to do your part by pacing and resting appropriately.