Reeva Steenkamp, a model and budding reality TV show participant, was shot and killed at Pistorius' upmarket home in an eastern suburb of the South African capital in the predawn hours of Thursday, sending the country reeling.
Pistorius solemnly entered court in a gray suit and blue tie. He later broke down in tears.
Chief Magistrate Desmond Nasir was presiding over the hearing which likely will include Pistorius' request for bail. Police oppose the granting of bail.
Pistorius' father, Henke, was in the court as was his brother Carl, sister Aimee and other supporters of the 26-year-old double-amputee athlete.
Police said Friday an autopsy on the body of the victim was taking place. Lt. Col. Katlego Mogale said the results of the autopsy would not be published.
More than 100 people packed into Courtroom C at Pretoria Magistrate's Court, including dozens of photographers and videographers.
The Paralympian and Olympic athlete was earlier seen leaving a police station, his jacket completely covering his head as he got into a police vehicle.
He was holding what appeared to be a white handkerchief in one hand as he was led by officers to a police van outside the Boschkop Police Station in eastern Pretoria, where he had been questioned on Thursday and had spent the night in custody.
Police said the victim was shot four times at Pistorius' villa in a gated community. Officers found a 9 mm pistol inside the home and arrested Pistorius on a murder charge.
Pistorius made history at the London Olympics last year when he became the first double-amputee track athlete to compete at any games. He didn't win a medal but did make the semifinals of the 400 meters and the final of the 4X400 relay, propelling the world's best-known Paralympian to the level of an international track star.