Pistorious, who killed Steenkamp at his home on Valentine's Day had pleaded that he mistook her for an intruder. He was released into correctional service and will serve out the rest of his sentence under house arrest at the residence of his uncle, Arnold.
Known as the Blade Runner for excelling at running on artificial legs with short ski-like feet, Pistorius' release follows several delays, including a ministerial decision to review his parole on the eve of his release in August this year.
The Steenkamp family said it was also "shocked" by the early release and that a fuller statement would be released later.
Reeva Steenkamp's mother June had earlier said that the family had forgiven Pistorius for killing their daughter, but added that anyone guilty of such a crime should serve out a proper sentence.
Pistorius' woes are, however, not over yet, as an appeal hearing by the state is still pending.
The Supreme Court of Appeal has confirmed that the matter will be heard in the first week of November.