He stood before magistrate Desmond Nair with his head bowed as the charge was read out.
Prosecutors say they intend to prove that Pistorius is guilty of premeditated murder.
Local news correspondent Barry Bateman described him as “sobbing uncontrollably” as he sat in the dock.
Pistorius’ father leaned forward and placed his hand on his son’s back during the hearing.
Prosecutors had asked to deal with the bail hearing as a section 6 offence, meaning the accused has to provide exceptional circumstances to be released on bail. The defence opposes this.
The case was postponed until Tuesday, and Pistorius will remain in custody in the meantime.
The body of Miss Steenkamp, a top South African model, was discovered at the athlete’s property in the Silver Woods gated community in eastern Pretoria on Thursday morning.
She had been shot four times. A 9mm pistol was found at the scene.
Local media has reported that she was shot through a bathroom door.
Pistorius, 26, spent Thursday night in custody and was subject to blood-alcohol, DNA and other tests, as forensics experts continued to work at the crime scene at his home in an upmarket gated estate.
His lawyer Kenny Oldwage said his client was “very well, obviously emotional, but fine”.
Police were called to Pistorius’s home at around 4am on Thursday by neighbours who heard gunshots. He is the only suspect in the case.