Penn, a San Francisco resident, plays the title character in the film about the life and assassination of San Francisco Supervisor and gay-rights leader Harvey Milk.
"Like Sheehan, Penn is a longtime critic of the Bush administration and its handling of the Iraq war. His political activism has included a tour of Iraq and travel to post-Katrina New Orleans," Sheehan's campaign said in a news release.
Contacted by phone Wednesday, Sheehan's representative said the candidate described the experience of attending the premiere the previous night and seeing the film as inspiring.
On Oct. 4, Penn presided over a fundraiser for Sheehan at his San Francisco home that raised more than $5,000 for her campaign, her campaign said.
Actors and activists Martin Sheen and Roseanne Barr have also each recently endorsed Sheehan, who is running as an Independent candidate in California's 8th Congressional District race against incumbent Nancy Pelosi, D-Calif.
"These immensely talented individuals have used their success and celebrity to draw attention to issues that are important to this state and to this country," Sheehan said in a statement. "I am deeply honored by their support and their confidence in my candidacy."