The 38-year-old actor has grown closer to his `The Wolf of Wall Street` co-star after he reportedly stayed overnight at her apartment in Union Square, New York, last week, and was spotted leaving the 22-year-old beauty`s abode the next morning.
A source told the New York Post newspaper: "He stayed overnight."
Margot - who plays Leonardo`s love interest in `The Wolf of Wall Street` - joined the `Great Gatsby` star in Las Vegas for his 38th birthday last month, where the pair spent "a lot of time" together.
An eye witness at the time said: "There looks to be some strong chemistry between Leo and his leading lady. They spent a lot of time at the party together."
Leonardo split from Victoria`s Secret model Erin Heatherton in late October after 10 months together amid reports he didn`t want to settle down and the pair struggled to see each other because of their busy schedules.
A source said at the time: "Erin wanted things to get more serious between them, but Leo is not ready to settle down.
"While it would seem amazing that he wouldn`t want to settle down with one of the world`s most beautiful women, Leo leads a charmed life."
Following their break-up Erin insisted she was doing fine and "couldn`t feel more beautiful".
She explained: "I`m having the best time right now. I couldn`t feel more beautiful with all my friends. It`s wonderful."
Leonardo has previously dated a number of famous beauties including Blake Lively, Gisele Bundchen and Bar Refaeli.