The athlete was sentenced to five years for killing Ms Steenkamp - a model and law graduate.
He was freed a day early and will now serve the rest of his sentence under house arrest - at the same address where he lived while on bail during the lengthy trial in Pretoria last year.
Pistorius may have been released early to prevent bustling TV crews from attempting to catch a glimpse of the disgraced sports star as he was driven out of prison.
The terms of his release have not been made public but are likely to allow some movement and a job approved by authorities. Pistorius will not be allowed to leave the country during the house arrest.
Sky's Alex Crawford says he is expected to live with his uncle, Arnold Pistorius, in one of the city's wealthy suburbs.
His parole conditions include a continuation of the psychiatric treatment he received in prison, and a ban on possessing firearms.
A correctional services spokesman has not ruled out allowing Pistorius to return to training, and it is not thought he will be required to wear an electronic tag.
However, it is possible he may need to complete some community service, like other parolees in South Africa.
Pistorius' legal team claims he is desperate to put his life back together and eventually wants to work with disadvantaged youngsters.
The 28-year-old was found guilty of culpable homicide, the equivalent of manslaughter, in September 2014 after a seven-month trial.
Ms Steenkamp died when he fired four 9mm shots through a locked toilet door at his gated home on 14 February 2013.
Pistorius told the court in Pretoria he had mistaken her for a burglar and was acting in self-defence.
Prosecutors are currently appealing the culpable homicide verdict, arguing it should be murder because Pistorius must have known the person behind the door could be killed.
The appeal is due to be heard on 3 November. If successful, Pistorius could be sent back to jail before the end of the year - and would face a minimum of 15 years behind bars. South Africa no longer has the death penalty.
Known as "Blade Runner" because of his carbon-fibre prosthetics, Pistorius became one of the biggest names in world athletics at the London 2012 Olympics when he reached the semi-finals of the men's 400m against able-bodied athletes.
South Africa has one of the world's highest rates of violent crime.