Christie's auction house says that the Colt .38 revolver is expected to sell for between STG50,000 ($A76,563) and STG70,000 ($A107,189).
It says the gun is being sold by an unidentified private collector. The house also says the gun was manufactured in 1929 - the year of the St Valentine's Day Massacre, in which seven people were murdered during clashes in Chicago between Capone's gang and a rival gang.
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The pistol will be sold along with an original letter from Madeleine Capone Morichetti, the widow of Al Capone's brother, Ralph, confirming the gun "previously belonged to and was only used by Al Capone while he was alive".
The gun will go under the hammer on June 22.
