Capacity Relations, a talent management firm, earlier named model Steenkamp as the victim of the shooting. Police spokeswoman Lt. Col. Katlego Mogale told the AP that officers received a call around 3 a.m. after the shooting.
A 9 mm pistol was recovered and a murder case opened against Pistorius.
Pistorius enjoyed target shooting with his pistol and an online advertisement featuring him for Nike read: "I am a bullet in the chamber.'' An article in January 2012 in The New York Times Magazine described him talking about how he pulled a pistol to search his home when his alarm went off the night before an interview. At Pistorius' suggestion, he and the journalist went to a nearby target range where they fired at targets with a 9 mm pistol. At one point, Pistorius told the writer: "If you practiced, I think you could be pretty deadly.''
Asked how often he went target shooting, Pistorius replied: "Just sometimes when I can't sleep.''
On Thursday, Mogale said when police arrived at Pistorius' house they found paramedics trying to revive a 30-year-old woman, who had been shot four times. Mogale, who was speaking to the AP from the scene, said the woman died at the house.
Police have still not released the name of the woman, but the publicist for Steenkamp confirmed in a statement that the model was dead.
"We can confirm that Reeva Steenkamp has passed away,'' Steenkamp's publicist Sarit Tomlinson said. "We are in communication with people on the scene, please wait for official statements, as there is too much speculation at this moment in time. We will provide further information as soon as we are able to provide accurate information as to what transpired.
"Our thoughts and prayers go to the Steenkamp family, who have asked to have their privacy respected during this difficult time, everyone is simply devastated. She was the kindest, sweetest human being; an angel on earth and will be sorely missed.''
Mogale and Beukes said the victim's family had not yet identified the body.
Pistorius made history in London last year when he became the first double-amputee track athlete to compete in the Olympic Games, propelling him to the status of an athletics superstar.
Having had both his legs amputated below the knee before his first birthday because of a congenital condition, he campaigned for years to be allowed to compete against able-bodied athletes. Having initially been banned because of his carbon fiber blades -- which critics said gave him an unfair advantage -- he was cleared by sport's highest court in 2008 and allowed to run at the top events.
He competed in the 400 meters and on South Africa's 4x400 relay team at the London Games, making history after having his selection confirmed on South Africa's team at the very last minute. He also retained his Paralympic title in the 400 meters in London.
South Africa's Sports Confederation and Olympic committee released a statement on Thursday saying they had been "inundated'' with requests for comment but were not in a position to give out any details of the shooting.
"SASCOC, like the rest of the public, knows no more than what is in the public domain, which is there has been an alleged fatal shooting on the basis of a mistaken identity and an apparent assumption of a burglary,'' the South African Olympic committee said. "The organization is in no position to comment on the incident other than to say our deepest sympathy and condolences have been expressed to the families of all concerned.''
The International Paralympic Committee also said it wouldn't comment in detail apart from offering its condolences to the victim's family.
"This is a police matter, with a formal investigation currently underway,'' the IPC said. "Therefore it would be inappropriate for the IPC to comment on this incident until the official police process has concluded. The IPC would like to offer its deepest sympathy and condolences to all families involved in this case.''
South Africa has some of the world's highest murder rates, with nearly 50 people killed each day in the nation of 50 million. It also has high rates of rape, other assaults, robbery and carjackings.
U.N. statistics show South Africa has the second highest rate of shooting deaths in the world, second only to Colombia.