Canseco, who had bulked up considerably since his high-school days, was also rumored to be a steroid user. He categorically denied the charges. "No. 1, I take it as a personal attack on me and my race," Canseco fumed about the matter in a 1995 interview with Barry M. Bloom in Sport. Between the 1991 and 1992 seasons, Canseco seemed to lose his edge. At the time, his marriage to Esther Haddad, Miss Miami 1986, was disintegrating, and in February of 1992 he was arrested after chasing and hitting Haddad's car on the highway with his Porsche. He avoided jail by agreeing to court-ordered psychiatric treatment, and later said that the therapy had helped him immensely in dealing with some of the issues in his life.
At the time, however, Canseco also had a troubled relationship with A's manager Tony LaRussa that was often hinted at in veiled comments each made to the press. On August 31, 1992, after a dismal summer, Canseco was traded two hours before the season trading deadline. He was actually in the on-deck circle at the Oakland-Alameda Coliseum, about to go to bat, when he was called in and told the news. To be traded in itself was a shocking way to end his career with the A's, but its suddenness seemed designed to humiliate Canseco. A's general manager Sandy Alderson discussed the matter with Bloom, in the Sport article, a few years later. "Jose had lost his desire to be a player," Alderson asserted. "He had adopted a wish to be an entertainer in a broader sense without regard to being a baseball player. That didn't work anymore."
Years after A's management had made the infamous Canseco trade, emotions still ran high over LaRussa's role in it. Neither had spoken to one another since, though LaRussa did tell Barry M. Bloom in Sport that he still believed Canseco was "the most talented player I have ever managed." He also reflected back on comments Canseco had made at the time, specifically those in which the athlete asserted that the A's would have never traded a player like Cal Ripken, Jr. or Kirby Puckett so ignominiously. "If Jose would have taken care of his business like Puckett and Ripken, which is be there every day and care about teammates and the outcome of the game and personal performance, we would have never traded Jose either," LaRussa told Bloom. "He stopped caring. We couldn't get him back on track."
Traded for three players to the Texas Rangers, Canseco had another bad season in 1992 and an even worse year the next, when he was mocked by fans after a fly ball bounced off his head and over the fence. After two seasons with the Rangers, he was traded to the Boston Red Sox before the start of the 1995 baseball year, and went back to Oakland in 1997 for a season. He performed well for the Toronto Blue Jays in 1998, enjoying his best season in several years, but the Tampa Bay Devil Rays were the only team to bid for him at the close of the year. The Anaheim Angels signed him in late 2000, but released him from his contract before the season began. He was the Yankees' designated hitter for a time, but did not play in the pennant race that brought the famed post-season "Subway Series" against the New York Mets.
Canseco still told sportswriters that he hoped to hit 500 career home runs, which he believed would be the ticket to a spot in the Baseball Hall of Fame in Cooperstown, New York. He spent what would be his final season with the Chicago White Sox, where his uneven hitting of the past few seasons continued (at one point in the season, he struck out 15 times in just nine games). What would become his last career home run, No. 462, came on October 3, 2001, in a Sox-Yankees game in New York. His future was uncertain, but he vowed never to retire. "One thing is I'm not a quitter. I never have been and never will be," Canseco told Chicago Tribune sportswriter Paul Sullivan, even as news hit that the Sox's Frank Thomas would return for the team's final outing against Minnesota, making Canseco "expendable," as Sullivan wrote. Yet Canseco remained optimistic. "It's going to take a lot more than that to get me out of the game."