The Paralympic champion was bailed after being charged with the premeditated murder of Reeva Steenkamp, who was shot dead through a bathroom door at the double amputee's home in Pretoria, South Africa.
"He just always seems to mention Reeva and to ask us to pray for her and her family," Azzie said in BBC Three documentary Oscar Pistorius: What Really Happened?, according to the Daily Mail.
"But most of all, you've got to understand that we are there for him and we will always be his friend. He has no confidence in his tone of voice and he is just a man that is almost like someone that is walking around in circles and doesn't know where he is going.
"I would say that, just speaking to him, that he is a broken man and that I would go as far to say that he would be on the verge of suicide. It really worries me."
Pistorius has maintained that he shot four times through the bathroom door because he thought his girlfriend was an intruder.