The exes were pictured arriving at an apartment together with packed duffel bags, reported E! online.
For the outing, Penn opted for khaki cargo pants, an olive bomber jacket and some comfy white shoes.
Meanwhile, the "House of Cards" actress was dressed low- key in jeans, a black jacket and pink scarf. She was also wearing simple white shoes.
Wright hasn't been linked to anyone since calling off her engagement in 2015 to Ben Foster, who is now engaged and having a child with Laura Prepon.
Penn and Wright have been in and out of their 14-year marriage.
The two were officially divorced in August 2010, but Wright first filed for divorce in December 2007. However, the former co-stars withdrew the paperwork in April 2008.
In April 2009, Penn was back in court asking for a legal separation, but they soon reconciled.
In August 2009, Wright filed for divorce a second time, citing irreconcilable differences as the cause.
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