The gold-medal winner, known as the Blade Runner, is accused of murdering Reeva Steenkamp at his home in Pretoria, South Africa on Thursday.
Pistorius' lawyer read out a statement in court which gave his version of the events that led to Ms Steenkamp's death.
The 26-year-old denied murder and said the couple were "deeply in love".
In the statement, the defendant said he felt vulnerable because he was not wearing his prosthetic legs. He claimed he fired his gun into the bathroom, but then realised Ms Steenkamp was not in his bed.
"It filled me with horror and fear," Pistorius said.
Extracts from Oscar Pistorius's bail hearing statement
Upon realising his mistake, he put on his legs, walked towards the bathroom and broke down the locked door with a cricket bat.
He said he ran downstairs carrying his 29-year-old girlfriend, but "she died in my arms".
Pistorius went on: "I fail to understand how I could be charged with murder, let alone premeditated murder, as I did not plan to murder my girlfriend, Reeva Steenkamp."
The couple went to sleep shortly after 10pm, Pistorius said, but in the middle of the night he woke up and thought an intruder had climbed in through his bathroom window.
He said he grabbed a 9mm pistol - which he kept under his bed after receiving death threats - and made his way in the darkness towards the bathroom door.
"As I didn't have my prosthetic legs on I was vulnerable," he said. "I fired a shot at the toilet door and shouted to Reeva to call the police."
The defendant described how he was "absolutely mortified at the death of my beloved Reeva".
Pistorius began shaking and crying as his statement was read out, according to the South African Press Association.
The bail hearing came as Steenkamp's funeral was held in her home town of Port Elizabeth.
Magistrate Desmond Nair ruled that the case was a schedule six offence - meaning premeditated murder - for the purpose of the bail hearing in Pretoria.
Prosecutor Gerrie Nel told the court the victim arrived at the house between 5pm and 6pm on Wednesday, and went to the bathroom after an argument between the pair.
He said that at 3am Pistorius got up from his bed, walked to the bathroom door and fired four shots through the closed door, hitting her three times.
"She couldn't go anywhere. You can run nowhere," Mr Nel said.
He told the court Pistorius later told a friend he thought she was a burglar.
Mr Nel said: "It was all part of the pre-planning. Why would a burglar lock himself inside the bathroom?"
Pistorius's lawyer, Barry Roux, said Steenkamp was not murdered, and there were a number of cases where men shot members of their own family through doors after mistaking them for burglars.
He also suggested that Pistorius broke down the bathroom door after the shooting to help Steenkamp.
"We submit it is not even murder," Mr Roux said. "There is no concession this is a murder."
Pistorius won two gold medals and a silver at the 2012 Paralympic Games in London. He also competed in the Olympic Games.
Steenkamp was cremated at a memorial service attended by family and friends who had travelled from around the world. Six pallbearers carried her coffin, draped with a white cloth and covered in white flowers.
Her brother, Adam Steenkamp, said after the service: "Everyone is sad, understandably, but at certain points we were smiling whilst remembering Reeva, because we only have good memories of her."
He went on: "There's a space missing inside all the people that she knew that cannot be filled again.
"We're going to keep all the positive things that we remember and know about my sister and we will try and continue with the things that she tried to make better. We'll miss her."
The court hearing was adjourned until tomorrow.
Meanwhile, French fashion house Thierry Mugler has become the latest high-profile sponsor to distance itself from Oscar Pistorius as the Paralympian fights murder charges in South Africa.
The company has announced the immediate and complete withdrawal of all products featuring Pistorius including its 'A*men Pure Shot' fragrance, which was launched as a special edition to mark last year's London Paralympics.
In addition, Thierry Mugler has removed all point-of-sale advertising featuring Pistorius, and deleted all references to the athlete from its website.
A Thierry Mugler spokesperson told Press Association Sport: "Out of respect and sympathy to the families involved in this tragic case, Thierry Mugler Parfums has removed all campaigns featuring Oscar Pistorius"
Promotional material for 'A*Men Pure Shot' last year described it as "a bold fragrance.. embodied by the charismatic Oscar Pistorius , chosen for his unique journey and values of excellence and achievement that he symbolises and represents."
Two other major sponsors, Oakley and Nike, also distanced themselves from the athlete this week following his charge over the shooting death of his girlfriend.
Oakley has suspended its contract with Pistorius while Nike said it has no plans to use him in future campaigns.
British Telecom, with whom Pistorius has been involved as a brand ambassador as well as an ambassador for the BT Paralympic World Cup, issued a short statement today saying: "Given the ongoing situation we have nothing further to say at this time."
The BBC has also apologised after it followed a radio news report on the trial of the paralympic star with a song about a man shooting his girlfriend.
The gold-medal winner, known as the Blade Runner for his prosthetic legs, appeared in a South African court today for his second appearance over the death of his model girlfriend Reeva Steenkamp and was formally charged with premeditated murder.
The bulletin, which included details of the case, was played on Radio 6 Music at 9am and was followed by the Jimi Hendrix Experience version of Hey Joe.
The much-covered track, originally recorded by LA folk-rockers The Leaves, includes the lines "Hey Joe, where you going with that gun in your hand? I'm going out to shoot my old lady, you know I caught her messing around with another man".
The show's presenter Nemone, who was sitting in for the usual host Shaun Keaveny, apologised on air after the track was played.
A BBC spokeswoman said: "In light of the nature of the news story, we apologise for any offence caused by the proximity of the song Hey Joe to the bulletin. An on-air apology was made immediately the mistake was realised."
The song was the debut release by the Jimi Hendrix Experience and gave the guitar hero his first hit, reaching number six in the charts in 1967.