Pistorius, who has been charged with premeditated murder of the 29-year-old Steenkamp on Valentine's Day, is out on bail since Friday and has been staying at his uncle Arnold's Pretoria, South Africa home.
The Pistorius family released a statement confirming the service. "Oscar specifically requested the memorial service as he continues to grieve and remains in deep mourning for the loss of his partner Reeva," the statement read.
"Since it is such a sensitive issue, Oscar has asked for a private service with people who share his loss, including his family members who knew and loved Reeva as one of their own.
"The Pistorius family would like to make a personal request to the media, to please respect their privacy at their home in Pretoria tonight."
Steenkamp's family held a memorial service Feb. 19, the same day Pistorius first appeared in court for his bail hearing. Her body has been cremated, the family said.
Pistorius' reputation management firm said Pistorius had specifically requested the service for Steenkamp — whom the Paralympic and Olympic star known as Blade Runner says he shot by accident assuming she was an intruder in his home.