The exact circumstances surrounding the incident remain unclear. Reports say Pistorius may have mistaken his partner for a burglar.
Pistorius, 26, is known as the "blade runner,” being the first double amputee to run in the Olympics using carbon fiber prosthetic blades.
A police statement said that a 30-year-old woman was "fatally wounded" in the early hours of Thursday morning at a home in the Silverlakes complex in the Boschkop area of the capital, according to a BBC report. A 9mm pistol was recovered.
Steenkamp, a model, sustained wounds on her head and upper body and died at the scene, reports said.
She was believed to have been dating Pistorius for a year, according to a Reuters report citing local media.
Pistorius was born without a fibula on both legs and became the first double amputee to run in the Olympics, after winning a landmark legal battle in 2008, when athletics' governing body, the International Association of Athletics Federations, allowed him to compete against able-bodied athletes. He reached the 400 meter semi-finals in London Olympic last year.
In last year's Paralympics, he suffered his first loss over 200 meters in nine years. He later apologized for questioning the legitimacy of his rival, Brazilian Alan Oliveira, with claims that Oliveira had been wearing blades that were too long in the 200m final.