According to friends, the two began secretly dating after "hooking up" at a party Leonardo DiCaprio threw at his Hollywood home last month.
"Lindsay and Kevin have been sneaking around. It’s not serious yet, but they seem to have some sort of physical connection,” Contactmusic quoted a source as telling a magazine.
“Lindsay isn’t sure what’s going to happen, so for now she wants to keep things quiet,” the source added.
Lohan was romantically linked to Scottish actor Gerard Butler after she parted ways with longtime girlfriend Samantha Ronson earlier this year and actor Connolly, who once dated socialite Nicky Hilton, was recently rumoured to be dating actress Hayden Panettiere.