Cunningham, 26, was arrested on a felony domestic assault charge and ordered to stay away from the woman after an alleged attack on Thursday in Medina, Minnesota, a suburb west of Minneapolis. He posted a bond and was released on Friday.
The power forward then traveled to Orlando, and played nearly 34 minutes in a 100-92 loss against the Orlando Magic on Saturday. The Timberwolves have already been eliminated from NBA playoffs contention.
But police said they returned to the home early on Sunday to investigate a potential violation of the protective order after a report that the same woman was receiving threatening messages from Cunningham.
"They were direct threats that rose to the terroristic level," Medina Police Chief Edgar Belland said in a telephone interview on Monday.
Cunningham turned himself in just before noon on Sunday in Minneapolis and was held without bond. He also gave investigators his cellphones and computers for examination, Belland said.
However, Cunningham has not been charged in the threats case, which is still under investigation, Belland added.
Cunningham was scheduled to appear in court on Monday afternoon on the initial charge, according to jail records.
A representative of Cunningham could not immediately be reached for comment.
The Timberwolves said in a statement on Sunday the team was waiting for the legal process to run its course and would comment when appropriate, calling the situation "very fluid."
"We reiterate that the Minnesota Timberwolves do not condone the behavior described in the accusations," the team said in its statement.
A criminal complaint filed last week said the woman told police that she and Cunningham had been living together for eight months. She said she had locked their bedroom door after he left the home in anger following an argument.
She told police that when he returned, he kicked in the bedroom door, grabbed her around the neck and slammed her against the wall, choking her so tightly that she could not breathe, the complaint said.