Rodriguez, 41, shared a video Thursday on Instagram Stories of Lopez, 47, giving Natasha a high five and hug after the 12-year-old finished an at-home performance.
The former MLB star shares Natasha and 9-year-old Ella with ex-wife Cynthia Scurtis, while Lopez is mom to 9-year-old twins Emme and Max. The pair combined their families for a casual pool day Sunday.
"Happy Sunday everybody!! #sundayfunday," Lopez wrote.
Rodriguez and Lopez were first linked in March, and confirmed their relationship the same month.
"[Their kids have] really bonded and become good friends," a source told E! News in April. "A-Rod's older daughter, Natasha, is like a big sister to J. Lo's twins."
Life & Style reported in May that Lopez, Rodriguez and their children are "like one big happy family."
"J. Lo has always wanted to have a large family, so it's a dream come true for her," a source said.
Lopez last released the album A.K.A. in 2014, and presently serves as a judge on the new NBC reality competition World of Dance. Rodriguez retired from the New York Yankees in August.