The Spanish actress and her husband Javier Bardem are among a group of actors - including Eva Longoria and Antonio Banderas - who meet weekly to play a murder mystery role-playing game called Wolves and her friends say she often gets carried away with her determination to win.
Antonio told Harper`s Bazaar magazine: "We play games. We love that. We play one called Wolves. Penelope, Javier and now Eva Longoria comes too. We get together once a week. Penelope and Javier are both very good at Wolves.
"I have seen Penelope doing things that you wouldn`t believe to win, picking huge fights with dear friends of hers, unbelievable!"
Penelope isn`t the only star who is competitive in their leisure time.
Christina Aguilera has previously spoken of her love of video games and desire to win against whoever she plays.
She said: "I`m a huge game nerd. I have a mini-arcade in my house, but it`s like old school games like `Donkey Kong` and `Mario`.
"I hold the record for all of them. Everyone who has a little gamer in them comes over and tries to beat my score, and I get a little competitive. I`m number one on `Galaga`."