A bridge function approximation is proposed for a single-component fluid consisting of penetrable sphere interacting via a potential that remains finite and constant for center-center distance smaller than the particle diameter and is zero otherwise. The radial distribution function from the Ornstein-Zernike integral equation combined with the present bridge function approximation is in satisfactory agreement with the corresponding simulation data for all of the investigated state points. The presently calculated excess Helmholtz free energy respectively based on virial route and compressibility route is highly self-consistent, and is in very good agreement with simulational results for the case of low temperatures. The present bridge function approximation, combined with the bridge density functional approximation, can reproduce very accurately density profiles of the penetrable sphere fluid confined in a hard spherical cavity for all the cases where simulational results are available.