The actress and Penn started dating about a month ago. Penn, 53, and Theron, 38 stayed in a private ocean view villa, complete with its own pool, reported People magazine.
"They were inseparable. They held hands everywhere they went," a source told the magazine.
"Before dinner one night, they held hands and took a stroll around the pool, looking at the beach. They looked completely enamored with each other," the source added.