Jose Canseco -- I'm Going to Live as a Woman ... to Support Caitlyn Jenner

Jose Canseco says he wants to show the world that he stands with Caitlyn Jenner -- and to prove it he says he'll be living as a woman for an entire week.

And according to Jose ... that means full makeup, dresses, the works.

Canseco says he plans to document the whole thing on his new Internet reality show "Spend a Day with Jose" -- which will follow him around as he golfs, plays softball, poker and goes bowling ... as a woman.