The "Dancing With the Stars" contestant told People magazine Penny got down on one knee at a restaurant and presented her with a 4 1/2-carat diamond ring.
"We kept it quiet because my family is in New York and Brad's family is in Oklahoma so we kind of wanted them to come out and celebrate and be a family first before we let the cat out of the bag," Smirnoff said.
People said Sunday that Smirnoff was showing off the rock this weekend at a party at the tony Tao Las Vegas nightclub. Penny wasn't there, but had a diamond necklace delivered to the event as an apology for his absence.
Penny and Smirnoff were introduced by a mutual friend, UFC fighter Chuck Liddell, and began dating last year.