The couple, who first met when they costarred in Woody Allen's 2010 romantic comedy Midnight in Paris, recently ended their two-year relationship, PEOPLE confirms.
The pair acknowledged their budding romance in 2011, after appearing arm-in-arm at that year's Cannes Film Festival and being spotted together throughout the fall of 2010.
McAdams, 34, will next star in About Time, about a man who travels back in time. She turned heads when photos from the set showed her in full-on baby bump mode, wearing a pregnancy prosthesis.
British actor Sheen, 45, was previously in a long-term relationship with actress Kate Beckinsale, and is the father of their daughter, Lily, 14. McAdams had been previously involved with Ryan Gosling.
Reps could not be reached for comment.
With reporting from JULIE JORDAN