They attended Jennifer Lopez's "All I Have" residency show at Caesar's Palace together, as seen in a video Montana, 31, posted on Snapchat, and partied together hours later at the Jewel nightclub at the Aria Resort & Casino, reported E! Online.
Inside the venue, they were seen dancing and then left together, a source said. The rappers have not commented about their night out.
Azalea, 26, announced her breakup with ex-fiance Nick Young a month ago.