Police say the 44-year-old actress was seen making the illicit purchase at about 7:30 p.m. Sunday.
She is charged with criminal possession of a controlled substance.
O'Neal, daughter of actor Ryan O'Neal, appears regularly on the cable television series "Rescue Me" and was the youngest person to win an Oscar for her role in 1973's "Paper Moon."
She chronicled her struggles with addiction in her memoir, "A Paper Life."
Police could not say whether she had an attorney. Messages left for a publicist were not returned early Monday.
