The trio looked warm and cozy in pants, knit sweaters and jackets during the beach outing. Theron was also photographed hugging her new beau from the back as Jackson chased after two dogs.
Reports that the Gangster Squad star, 53, and the 38-year-old Oscar-winning actress were dating began in December as the two flew to Hawaii to ring in the new year at Penn's beachfront home in Oahu.
At the time, a source told People magazine that the actors had been friends for years, but later in January Penn confirmed the relationship while speaking to CNN's Piers Morgan at the Help Haiti Home gala.
When Morgan congratulated Penn on his new lady love, Penn reportedly said, "She’s a keeper, that’s for sure … well, I’ll do my best to keep her anyway!"