The pair stepped out over the weekend to grab dinner at Serendipity 3 in New York City alongside DiCaprio's close friend Lukas Haas and another blonde.
"They came in very low-key, all wearing baseball caps," a source tells PEOPLE.
"She was very attached to Leo," adds the source. "She was definitely with him, she was holding on to his arm. They were affectionate."
The group sat in a corner booth and noshed on a variety of dishes including chicken pot pie, frozen hot chocolate and a specialty sundae.
"They had a great dinner and snuck out," adds the source.
A second source, meanwhile, tells PEOPLE that the two were "getting some food with other people there. Nothing more than that."
This isn't the first time Horner and DiCaprio, 41, have sparked romance rumors. The two were also spotted together at London's Chiltern Firehouse in February.
Horner addressed the gossip in a series of tweets that have since been deleted.
"You can’t have a friend in the industry without people assuming it's more than that … it's a joke," she wrote.
In a second tweet, she assured fans that she did not go home with DiCaprio. "FYI we all went our separate ways home, as friends do."