The cricket bat was at the centre of the murder investigation against the star athlete, reports Xinhua.
Police were investigating two possibilities: that the cricket bat was used by Steenkamp to defend herself or that Pistorius used it to break down the bathroom door to get access to where Steenkamp was hiding.
Police sources close to the investigation told the City Press newspaper that Steenkamp's skull had been "crushed".
"There was lots of blood on the bat," one source was quoted as saying.
The South African double amputee has been under police custody since Thursday after being arrested for allegedly shooting dead his girlfriend Steenkamp in his Pretoria home.
The report quoted police sources as saying the first shot was fired in the bedroom and that the other three were fired at her through the bathroom door.
Pistorius told police he mistook Steenkamp for a burglar and shot her with a 9mm pistol.
He made his first court appearance at the Pretoria magistrate's court Friday and was charged with premeditated murder.
City Press has also revealed certain shocking details like:
1. Pistorius allegedly told his sister, Aimee, that something terrible had happened and that he had mistaken Steenkamp for a burglar.
2. But three sources close to the investigation ruled out the possibility that Pistorius could have mistaken Steenkamp for an intruder. There was no sign of forced entry.
3. It is alleged that the first shot was fired in the bedroom after which Steenkamp locked herself in the bathroom.
4. Pistorius' father received a call from his son just after 3:20am on Thursday, asking him to come to his house.