During his emotional testimony he said Ms Steenkamp died before the ambulance arrived while he was holding her.
He said he tried to help her breathe and stem the bleeding from her hip.
The athlete denies deliberately shooting dead Ms Steenkamp on Valentine's Day last year, arguing he mistook her for an intruder.
Prosecutors contend he intentionally killed her in the toilet of his bathroom after a row.
The 27-year-old Olympic and Paralympic sprinter, who is a double amputee, faces life imprisonment if convicted of murder.
On Tuesday, he broke down in tears whilst describing the events leading up to the shooting and the actual event.
If acquitted, South African law stipulates that the court must consider the separate, lesser charge of culpable homicide, or manslaughter, for which he could receive between six and 15 years in prison.
Mr Pistorius also faces charges of illegally firing a gun in public and of illegally possessing ammunition, both of which he denies.
There are no juries at trials in South Africa, and his fate will ultimately be decided by the judge, assisted by two assessors.
On his third day on the stand, Mr Pistorius described the moments after paramedics had arrived at the scene.
"They asked for some space to work so I stood up. Reeva had already died whilst I was holding her before the ambulance arrived. So, I knew there was nothing they could do for her," he told the court.
He also described his distress as police and other officials arrived at the house.
"I asked a policeman if I could wash my hands because the smell of the blood was making me throw up," he said.
His lawyer Barry Roux also asked him to demonstrate how he would swing a cricket bat.
Mr Pistorius said he was on his prosthetic legs when he used the cricket bat to break down the toilet door.
He said the three sounds heard by witnesses at 03:17 local time was the cricket bat hitting the door - about five minutes after he shot at the toilet door.
He said he was on his stumps, when he shot at the door.
"I can barely stand on my stumps," he said.
During his questioning, Mr Roux also mentioned statements from close neighbours who were listed by the state but not called by the prosecution.
He said the statement from Kenny Motshoane's house described hearing "crying" and not "a woman screaming", as mentioned by other witnesses.
Another woman living nearby also says she heard "loud crying" and not a woman screaming, Mr Roux said.
Before Mr Roux ended his questioning he asked Mr Pistorius if he had intentionally killed Ms Steenkamp.
"I did not intend to kill Reeva  or anybody else for that matter," he replied.
On Tuesday, the athlete described how the couple had spent a quiet evening together on 13 February, Ms Steenkamp doing some yoga as he spoke to his cousin on the phone.
He had then watched TV in bed with his head resting on her stomach and she would occasionally show him photos of cars she was looking at on her phone, he said. He said that they had bought Valentine's Day gifts for each other.
Ms Steenkamp, a 29-year-old model, reality TV celebrity and law graduate, was hit by at least three bullets while in the toilet cubicle of Mr Pistorius's home in Pretoria.
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Mr Pistorius said in his statement at the start of the trial that he woke in the early hours and  walked on his stumps to the balcony, pulled in two fans, closed the sliding door and drew curtains. He said that shortly before he had spoken to Reeva, who was in bed beside him.
He said he rejected prosecution claims that a witness heard arguing coming from the house before the shooting.
Mr Pistorius said he heard the bathroom window sliding open and believed that an intruder, or intruders, had entered the bathroom through a window which was not fitted with burglar bars.
"Unbeknown to me, Reeva must have gone to the toilet in the bathroom at the time I brought in the fans," he said.
Mr Pistorius said he approached the bathroom armed with his firearm, to defend himself and his girlfriend, believing Ms Steenkamp was still in bed.
Both sides agree four bullets were fired. Ms Steenkamp was hit three times.
Mr Pistorius said he fired his weapon after hearing a noise in the toilet which he thought was the intruder coming out of the toilet to attack him and Ms Steenkamp.
He said he was in a fearful state, knowing he was on his stumps and unable to run away or properly defend himself.
Mr Pistorius said he rejected claims that he was on his prostheses when he shot at the door.
A witness told the trial she woke to hear a woman screaming and a man shouting for help. She said that after the screams she heard four shots.
Mr Pistorius said he went back to the bedroom after shooting at the toilet door, still shouting for Reeva. Lifting himself up onto the bed, he felt over to the right hand side of it and noticed Ms Steenkamp was not there.
Mr Pistorius said this was when he realised she could have been in the toilet.
Mr Pistorius said he went back to the bathroom but the toilet was locked, so he returned to the bedroom, pulled on his prosthetic legs, turned on the lights before bashing in the toilet door with a cricket bat.
Forensics expert Johannes Vermeulen told the court that the height of the marks on the door caused by the cricket bat suggest Mr Pistorius was on his stumps at the time.
Mr Pistorius's defence team say he then called security at the gated housing complex and a private paramedic service before carrying Ms Steenkamp downstairs.
A security guard claimed it was the other way round, and he had called Mr Pistorius first after reports of gunfire. However, phone records shown to the court revealed Mr Pistorius called the estate manager at 3:19am, a minute later he called the ambulance service and at 3:21am he called estate security.
A minute later he received an incoming call - estate security calling him back.
According to police phone expert Francois Moller, Mr Pistorius called his friend Justin Divaris a short time later and just after 4:00am he called his brother Carl.
South African athlete Oscar Pistorius is back in court in Pretoria describing events after shooting his girlfriend Reeva Steenkamp in his home.