The 38-year-old actor has grown closer Robbie, 22, and was seen staying overnight at her apartment in Union Square, last week, reported the New York Post.
"He stayed overnight," a source said.
Robbie, who plays Caprio's love interest in the film, also joined the 'Great Gatsby' star in Las Vegas for his 38th birthday last month.
"There looks to be some strong chemistry between Leo and his leading lady. They spent a lot of time at the party together," the source added.
DiCaprio recently split from Victoria's Secret model Erin Heatherton in late October after 10 months together.