On Tuesday Pistorius tearfully denied the premeditated murder of Steenkamp, telling a court he shot at her through a locked bathroom door believing she was an intruder.
"I am absolutely mortified by the events and the devastating loss of my beloved Reeva," Pistorius said in an affidavit at a court hearing in the capital Pretoria, his first public comments on the killing.
The 26-year-old double amputee 'Blade Runner' track star broke down in tears repeatedly as his own words filled the court: "We were deeply in love and couldn't be more happy."
"I had no intention to kill my girlfriend," he said in the statement read by his lawyer.
At one point the court was forced to break so the track star could pull himself together.
"He's definitely been broken," his public relations manager Stuart Higgins said.
As the court hearing proceeded Tuesday, Steenkamp was laid to rest at an emotional private ceremony at a crematorium in her hometown of Port Elizabeth.
Pistorius was an inspiration to millions when he became the first double amputee to compete against able-bodied athletes in the Olympics.
He now faces a charge of premeditated murder, which will likely result in remand without bail and, if convicted, a life sentence.
Pistorius said the couple, who had been dating since late last year, had spent the evening at his upscale Pretoria home watching television and with the 29-year-old Steenkamp doing yoga.
He said he awoke in the dead of night to bring in a fan from the balcony when he heard a noise.
"Filled with horror and fear" that someone was in the bathroom, he said he felt "very vulnerable" because he did not have his prosthetic legs on.
"I fired shots at the toilet door and shouted to Reeva to phone the police.
"Reeva was not responding. When I reached the bed, I realised that Reeva was not in bed.
"That is when it dawned on me that it could have been Reeva who was in the toilet."
After smashing the door with a cricket bat, Pistorius said "Reeva was slumped over but alive".
"I tried to render the assistance to Reeva that I could, but she died in my arms."
He said he kept a firearm, a 9 mm Parabellum, under his bed at night because he had been a "victim of violence and burglaries before".
He was not only acutely aware of intruders intending to commit violent crime but that "I have received death threats before".
Prosecutors argued that far from being an accident, Steenkamp's death was a premeditated act of murder.
Prosecutor Gerrie Nel told the court Pistorius had armed himself, put on his prosthetic legs, walked seven metres and fired four shots into the bathroom door, hitting a terrified Steenkamp three times and fatally wounding her.
"She could go nowhere," Nel said.
"She locked the door for a purpose. We will get to that purpose."
There was no decision on bail Tuesday, with the court proceedings adjourned until Wednesday.
Prosecution spokesman Medupe S'Maiku said the hearings could take all week.
Magistrate Desmond Nair said he could not rule out that there was some planning involved in the killing, which may be considered as a premeditated murder for the purposes of bail.
But Pistorius's legal team rejected the claims as he sought to argue he was not a flight risk.
Pistorius revealed he earned 5.6 million rand ($640,000) a year and owned the $570,000 house in the gated estate where the killing took place as well as two other homes.
Lawyers submitted affidavits from friends of both Pistorius and Steenkamp describing the couple's close relationship.
Pistorius, who off the track has had a rocky private life with stories of rash behaviour, beautiful women, guns and fast cars, has built up a powerful team of lawyers, medical specialists and public relations experts for his defence.
In 2009 Pistorius -- who once admitted to a newspaper that he slept with a pistol, machine gun, cricket bat and baseball bat for fear of burglars -- spent a night in jail after allegedly assaulting a 19-year-old woman at a party.
Meanwhile in Port Elizabeth, tearful friends and family bid farewell to Steenkamp, whose cloth-draped coffin with white flowers laid on top was carried into a chapel in the southeastern coastal city where she grew up.
"There's a space missing inside all of the people that she knew that can't be filled again," her brother Adam, who gave the eulogy, said after the ceremony.
"We'll miss her."
Pistorius, a Paralympian gold medallist, became the first double amputee to run against able-bodied athletes at last year's Olympics in London on the carbon-fibre running blades that inspired his nickname.
But his career has been put on hold since the shooting, forcing him to cancel races in Australia, Brazil, Britain and the United States between March and May.
Two of the athlete's American sponsors, Nike and sunglasses maker Oakley, announced they were dropping Pistorius from their advertising campaigns, which have earned him millions of dollars in endorsements.
The case has shocked South Africa, where Pistorius is still considered by many to be a shining example of how individuals can triumph over adversity.