Agent Jose Melendez says Canseco was resting at home Wednesday, and friends and family were hoping his finger would respond well to a surgery.
Officers responded to a call of an accidental shooting shortly after 2:30 p.m. Tuesday.
Police said the former Oakland Athletics outfielder said he was cleaning his gun in the kitchen when it fired, shooting a finger on his left hand.
Canseco is a right-handed batter who hit 462 career home runs and was a six-time All-Star. He also played for Texas, Boston, Toronto, Tampa Bay, the New York Yankees and Chicago White Sox during a career that spanned from 1985 to 2001.