The 26-year-old Olympic and Paralympic sprinter is accused of shooting dead 30-year-old Steenkamp at his home in Pretoria, South Africa.
Yesterday, he appeared in court and wept when the charge of pre-meditated murder was read out. He is now awaiting a bail hearing on Tuesday, February 19.
The Sun reports that Pistorius has been placed under strict monitoring in Pretoria's Brooklyn Police Station.
A source told the newspaper: "Oscar is innocent but he feels as though he has descended into hell.
"He is absolutely devastated and struggling to deal with his emotions.
"He's been given a cell to himself at the police station but there are criminals in cells around him and he doesn't belong there.
"There are police concerns over his mental state."
Steenkamp, a model and reality TV star, sustained four gunshot wounds in the early hours of February 14. Police arrested Pistorious on suspicion of murder and recovered a 9mm pistol from his property.
The athlete's family have said that Pistorius denies the charge "in the strongest terms".