Entertainment Tonight reported the split, but offered no reason for it. The outlet also did not say exactly when it occurred.
Theron recently spoke to Elle UK about her passionate relationship with Penn.
"Putting aside that he's my partner, he's the love of my life; for the first time, I felt that my work was really bleeding into my life and that made it hard," she said. "There were moments where I was incredibly unfair to him. And moments where I felt like... he was incredibly unfair to me."
The film stars reportedly knew each other for several years before they began dating.
Theron, 39, lived with her longtime beau, Irish actor Stuart Townsend, from 2001 to 2010.