Canseco owed more than $2.5 million on the 7,300 square-foot mansion.
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.