The camera-shy couple ducked from paparazzi as security hustled them out of the eatery.
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DiCaprio donned white sneakers, black slacks, a puffy coat, a baseball cap, and a mask. Hadid wore a midriff shirt, a leather jacket, and a blue scarf.
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The "Titanic" star and model were first linked during Fashion Week. The beautiful duo was spotted at a Soho loft party and Casa Cipriani.
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Page Six's source said they were "getting to know one other" and "taking it gently... They've generally been in groups and occasionally solo."
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Oscar winner was also in Milan on the same day as Hadid's Versace show.