The duo was photographed at Neon Carnival, an event near the annual desert music festival in California, reported People magazine.
The 28-year-old "Diamonds" hitmaker and "The Revenant" star kept their appearance low-key, with her wearing a pair of stunner shades and him aviators with a baseball cap.
According to a source the couple didn't appear romantic.
"Leo slipped into the party incognito and was dancing and singing to 'No Scrubs'. He knew every word! A couple tables over Rihanna was dancing with a couple girlfriends. Leo saw her and made his way over to say Hi," the source said.
Last year, DiCaprio was spotted getting flirty with Rihanna when he helped her ring in her 27th birthday in New York.