"She's come to the ['SNL'] studio at Rockefeller Center, and they've gone out to dinner after rehearsals," the celebrity news Web site quoted an unnamed insider as saying.
A second source said the couple attended the show's afterparty at the New York club Loi Dec. 4.
"They walked in holding hands," the source said.
The UsMagazine.com report did not say when the romance started.
Wilde, who co-stars on the medical drama "House," ended her eight-year marriage to Tao Ruspoli in March.
Sudeikis dated actress January Jones for six months before they broke up early this year.