The actress, 37, who recently confirmed a split from Shane Deary, her husband of nearly seven years, has been spotted looking close to her costar in New York City, where they film their hit show The Americans.
Russell and Rhys, 39, were seen walking around her Brooklyn Heights neighborhood a few days before Christmas, shopping and looking at furniture on the street.
"They looked very much like a couple," a source tells PEOPLE. "They were laughing and walking closely together."
Reps for the actors have not commented.
Russell and Deary, who were married in February 2007, are parents to two children: son River, 6½, and daughter Willa, who turns 2 on Friday.
The second season of The Americans, a drama about KGB spies living in suburban Washington, D.C., during the Reagan era, premieres in February on FX.