Pistorius, 29, was given a six-year jail term after an appeals court upgraded his manslaughter conviction to murder.
The Department of Correctional Services said the double amputee was moved from Kgosi Mampuru II prison in the capital Pretoria to Attridgeville Correctional Centre, just outside the city.
"The transfer was in line with his special needs," department spokesman Singabakho Nxumalo told AFP.
"The new prison caters for people with special needs, it has been revamped to include facilities like bath tubs."
The smaller facility holds convicts serving sentences of up to six years.
In July, Pistorius, 29, was given a six-year jail term after an appeals court upgraded his manslaughter conviction to murder.
He had been earlier given a five-year jail term and released on bail after one year.
Prosecutors are still trying to lengthen his sentence, which they have described as "shockingly lenient and disturbingly inappropriate".
The Paralympic hero shot his girlfriend Reeva Steenkamp, a model and law graduate, in the early hours of Valentine's Day 2013.
The "Blade Runner", as he was known, has always maintained that he mistook her for an intruder.
He fired four high-calibre bullets through a locked toilet cubicle inside his upmarket home in Pretoria, killing Steenkamp.