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. "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."
Tomlinson said Steenkamp, known simply as Reeva, was one of FHM's (formerly For Him Magazine) 100 Sexiest Women in the World for two years running, appeared in countless international and national advertisements and was one of the celebrity contestants on the reality show "Tropika Island of Treasure," filmed in Jamaica.
She and Pistorius were first seen publicly together in November at an awards ceremony in Johannesburg. Later, she began mentioning the athlete in public messages on Twitter.
She also tweeted messages urging women to stand up against rape as well as her excitement about Valentine's Day. "What do you have up your sleeve for your love tomorrow?" she tweeted. "It should be a day of love for everyone."
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 when his selection for South Africa's team was confirmed 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. The International Paralympic Committee also said it wouldn't comment in detail apart from offering its condolences to the victim's family.
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.
"The question is: Why does this story make the news? Yes, because they are both celebrities, but this is happening on every single day in South Africa," said Adele Kirsten, a member of Gun Free South Africa. "We have thousands of people killed annually by gun violence in our country. So the anger is about that it is preventable."
Imray reported from Cape Town, South Africa. Associated Press writer Michelle Faul contributed to this report from Johannesburg.