The 33-year-old was questioned by police following reports of a high-value theft from Harvey Nichols on 25 November.
The striker who also played for Lokomotiv Moscow, Birmingham City and Barnsley during his career is said to have been recognised by a member of staff on CCTV.
A Police Scotland spokesman said: “Police Scotland have arrested and charged a 33-year-old man following a theft from a business premises in St Andrew Square on Friday 25 November.
“A report will be submitted to the Procurator Fiscal.”
It is thought the value of items taken is worth four figures.
O’Connor, who now manages Lowland League team Selkirk, previously denied any involvement in the theft.