A report by daily City Press said Pistorius was taken to hospital on Saturday, BBC reported on Sunday.
It quoted a security guard at Kalafong Hospital in Pretoria as saying the athlete had wounds to his wrists that were bandaged.
The report said blades were found in a subsequent search of Pistorius’s cell.
Following treatment, the athlete has returned to prison, BBC reported.
In July, prosecutors said his six-year jail sentence for murdering his girlfriend Reeva Steenkamp in 2013 was too lenient and they would appeal.
The 29-year-old was initially given a five-year term for manslaughter, but was found guilty of murder on appeal last December.
He admitted killing Steenkamp but said he mistook her for an intruder at his home, BBC added.