The 33-year-old Australian actress has been dating the 'Boardwalk Empire' star for few months, reported Us magazine.
"They've been dating for a few months. I think Rose is a good match for him," a source said.
The couple was photographed recently spending time together at the "Killing Them Softly" after party in New York City.
"They were sitting in a booth and he had his arm around her and they would kiss from time to time. They definitely tried to keep a low profile and left at separate times," an onlooker said.
The actress previously dated Australian film director Gregor Jordan in 1999, but three years later, they split.
She was then in a romantic relationship with another Australian film director and actor Brendan Cowell in 2003. They went their separate ways in January, 2010.
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The Australian actress called it quits with Brendan because of long distance.
Cannavale, meanwhile, tied the knot with Jenny Lumet in 1994, yet they split in 2003.
Together, they have a son named Jake. He was then romantically linked to actress Annabella Sciorra and "Mauritius" Broadway play co-star Alison Phil. Later, he dated Sutton Foster before he called it quits in April 2012.