Canseco owed more than $2.5 million on the 7,300 square-foot mansion.
Until the 43-year-old Canseco retired in 2001, he was one of the most flamboyant U.S. baseball players.
Canseco was one of the first Major League Baseball players to admit using steroids in his tell-all 2005 book "Juiced."
His personal life has also been controversial with two divorces and several run-ins with the law for violence.
Canseco said a good portion of the money he earned in his heyday went to pay for his divorces. "I had a couple of divorces that cost me $7 or $8 million," he said.