The romance comes not long after news broke of Wilde's split from Sudeikis, to whom she'd been engaged for seven years. The breakup reportedly took place earlier in the year.
"Olivia's romance with Harry has been going on for a little while and has broken Jason's heart," an insider told E! News. "She was definitely trying to keep the romance with Harry under wraps and was very careful."
Jason Sudeikis is reportedly heartbroken over the end of his relationship with Olivia Wilde. (Getty Images)
Furthermore, a source told People magazine that the "Saturday Night Live" alum, 45, is not only sad about his ex's new relationship but "is absolutely heartbroken about the split."
"There is still a lot of love there, and he would like to have hope that maybe there's a way for them to repair things," they added. "But what happens next remains to be seen."
Reps for Styles, Wilde and Sudeikis did not immediately respond to Fox News' request for comment.
Wilde and Sudeikis share two children: Otis, 6, and Daisy, 4.
‘Don’t Worry Darling’ stars Olivia Wilde (left) and Harry Styles (right) are reportedly dating. (Getty Images)
The "Ted Lasso" star told Stephen Colbert that he and Wilde met at an "SNL" finale party, though they didn't begin dating then because she was seeing someone and he was "very, very busy with other things."
"And next thing you know, I stopped being busy, she stopped dating someone, and then it was off to the races," he said. "We sort of reintroduced ourselves. The universe had more in store for us in the fall."
Wilde, who was previously married to filmmaker Tao Ruspoli, is currently directing and co-starring in the movie "Don't Worry Darling," which Styles has a role in.