Rumors began swirling last fall that the "Midnight in Paris" co-stars were romantically involved in real life.
People.com said they finally confirmed they are a couple at a screening of the film in New York Tuesday.
"Yeah, we are together," Sheen told People.com.
"I don't think it was planned one way or the other," McAdams said of finally going public with their relationship.
"Paris" director Woody Allen told People.com he "didn't see it coming" the way he did with Penelope Cruz and Javier Bardem, who began dating during the filming of Allen's "Vicky Cristina Barcelona" and who are now married with a new baby.
"[Cruz and Bardem] were kind of chummy. But I didn't see it coming here ... and [McAdams and Sheen] did not ask my permission," Allen said.
McAdams previously dated Ryan Gosling, her leading man in the romance "The Notebook."
Sheen has a daughter with his ex-girlfriend and "Underworld" co-star Kate Beckinsale.