The 'Gossip Girl' actor - who dates co-star Blake Lively for three years until October 2010 - was seen holding hands and kissing the 'X-Men: First Class' actress as they walked in New York this week.
A source told Us Weekly magazine: "They're doing great. So happy."
Though neither of the stars representatives have yet commented on their romance, it is not the first time Penn, 24, and 22-year-old Zoe - the daughter of rocker Lenny Kravitz and actress Lisa Bonet - have been seen together.
They dined in New York eatery Five Leaves in July, and later in the same week were seen sharing a cab after the 'Friends with Benefits' premiere, and attending a showing of 'Horrible Bosses'.
Earlier this year, Zoe was romantically linked with her 'X-Men First Class' co-star Michael Fassbender.
A source said at the time: "Zoe's really mature for her age in that she has very strong opinions and she is very confident in herself. Most people are shocked to learn she's so young; she doesn't really bring it up and age would never stop her from dating anybody.
"For how good looking and smart he is, Michael's pretty shy. She is actually the one taking care of him most the time. She really respects his talent."