It's been a little more than a month since Yanez was seriously injured and his partner, Officer Ella French, was killed in the line of duty on Chicago's South Side.
Since that day, 39-year-old Yanez has struggled to recover after suffering multiple gunshot wounds, including to his face.
In the weeks since, his family said he is giving "110% in rehab."
RAW VIDEO: Officer Carlos Yanez Jr. shares message from hospital
Officer Ella French's wounded partner speaks from hospital
Yanez is partially paralyzed and lost an eye in the shooting.
At the end of August, he was released from the hospital and has been undergoing therapy at a rehab facility.
"He is showing some small movements in left arm and the right leg is getting some strength slowly. The left leg hasn't shown much improvement," the Yanez family said.
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They also revealed that another bullet has been discovered since he started rehab, but added that there are no plans to remove any of the four bullets due to their locations.
"The past month has been difficult psychologically accepting his disabilities and loss of his eye but he is resilient and staying positive," his family said.
The family said a fellow officer visited Yanez Friday and gave him his first haircut since the incident.
During The National Anthem at Saturday night's White Sox game, fans rose to their feet to give a tip of the hat to Officer Yanez.
He joined via FaceTime.
The family said they continue to thank everyone who is still holding Yanez and his family in their prayers.
A flag was also raised on the roof of a fire station at ground zero in honor of fallen Chicago Police Officer Ella French.
CPD chaplain, Father Dan Brandt, led the ceremony.
WATCH: Fallen CPD Officer Ella French honored at ground zero on 9/11
Fallen CPD Officer Ella French honored at ground zero
He was joined by two Chicago Police Officers, members of the New York City Fire Department and the U.S. Marines.
The flag will be presented to Officer French's mother.
The two CPD officers were shot on Aug. 7 when they pulled over 22-year-old Eric Morgan in West Englewood. Morgan's brother, 21-year-old Emonte, and a woman were in the vehicle at the time.
RELATED: Surveillance video shows traffic stop before fatal shooting of CPD Officer Ella French; 2 charged
Emonte allegedly killed French and shot Yanez three times, according to police. Both brothers have been charged.
Officer French, 29, was just three years into her police career when she was killed.
Casket carrying Officer French arrives for visitation
Casket carrying Officer French arrives for visitation
The incident marked the 27th time a Chicago police officer has been shot at this year and the 11th time an officer has been shot.
The Yanez family has set up a GoFundMe to help with his recovery.