The federal grand jury has been meeting weekly on Thursdays to probe BALCO, a firm located south of San Francisco which the US Anti-Doping agency said was the probably the source of the new, previously undetectable, steroid THG.
The jury has heard from some of the best known names in international sport, including US Olympic gold medallist Marion Jones, who testified last week, and 100 meters world record holder Tim Montgomery before that.
The proceedings are held behind closed doors and could lead to criminal charges against BALCO and its founder Victor Conte. A former musician without advanced medical training, Conte attracted top names in sport to what he advertised as a nutritional testing and supplement lab.
On Thursday, other baseball players appearing were former San Francisco Giant Armando Rios -- who has played most recently with the Chicago White Sox -- and Bobby Estalella, a catcher who has also played part of his career in San Francisco and is now a free
The jury panel also heard from U.S. Olympic 4x400 meter relay gold medallists Calvin and Alvin Harrison, twin brothers. None of the athletes would discuss what they said to the jury.
Calvin Harrison told Reuters last month that he had tested positive for the new stimulant modafinil.
Among players testifying last week was U.S. football player Dana Stubblefield, who CBS SportsLine.com reported on Sunday was one of four Oakland Raider players notified they had tested positive for THG.
Pierzynski, 26, who was just traded to Giants from the Minnesota Twins last week, is a career .300 batter. He declined to discuss the grand jury hearing, but said he was happy to be in San Francisco.
"It's great to be a Giant," he said at the federal courthouse. "It's a great city it will be a lot of fun."
Two others athletes also showed up to testify but they did not give their names.
On Dec. 4, baseball star Barry Bonds, who just won his record sixth Most Valuable Player award, and fellow San Francisco Giant Benito Santiago, are scheduled to testify.