Canseco's fiancee, Leila Knight, was also active on social media urging friends to pray for his finger.
Police say Knight was in the house Tuesday afternoon when the gun discharged as Canseco was cleaning in it the kitchen.
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.
Information from The Associated Press was used in this report.
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