The New York Post's Page Six reported Saturday that Martin, 37, had "an affair" with a women he met during his 2011 appearance on Saturday Night Live.
One source described the unidentified woman as an assistant, though another said she arrived at NBC studios as part of an entourage.
Paltrow's rep told the Post that she "cannot address those accusations."
The two announced their decision to "consciously uncouple" via GOOP post two weeks ago, after "well over a year" of work on their relationship.
"They were physically separated and emotionally," a source told People.