In May 2008, Philadelphia sportscaster and former NFL football player Vai Sikahema accepted a challenge from Canseco to fight him for $30,000. Canseco claims to have earned black belts in kung fu and taekwondo, while Sikahema fought in the Golden Gloves tournament won by Sugar Ray Leonard. The fight took place on July 12 in Atlantic City at the Bernie Robbins stadium. The 5 ft 9 in (1.75 m) Sikahema knocked out the 6 ft 4 in (1.93 m) Canseco in the first round.
In May 2008, Canseco revealed that he had lost his house in Encino, California to foreclosure saying his two divorces had cost him $7 to $8 million each.
On October 10, 2008, Canseco was detained by immigration officials at a San Diego border crossing as he tried to bring a fertility drug from Mexico. He stated the drug was to help with his hormone replacement therapy, needed due to his use of steroids. On November 4, 2008, Canseco pleaded guilty in Federal court and was sentenced to 12 months' unsupervised probation by U.S. Magistrate Judge Ruben B. Brooks.
The 2008 A&E Network documentary Jose Canseco: Last Shot chronicles Canseco's attempts to end his steroid use. In it he also regrets ever writing his tell-all books and naming former teammates as steroid users, as he was never given the opportunity to participate in MLB-affiliated baseball. Since, he has tried unsuccessfully to reach out to former Bash Brother Mark McGwire and other ex-teammates. In 2014, he returned to the Oakland Coliseum to take part in the reunion celebrating the 25th anniversary of the 1989 World Series championship team; this marked the first time Canseco took part in an official Major League Baseball event in almost 13 years. Mark McGwire, at the time coach for the Los Angeles Dodgers, did not attend the event.