The military thriller is slated to hit cinemas on February 20, 2015.
Penn is starring as an ex-special forces soldier and military contractor who must chase across Europe in order to clear his name.
The action thriller will be directed by Pierre Morel, who has previously worked on Taken and From Paris with Love.
Penn most recently appeared on the big screen as a globe-trotting photographer in The Secret Life of Walter Mitty.
The Gunman will also star Skyfall's Javier Bardem and The Wire's Idris Elba, as well as Ray Winstone, Mark Rylance and Jasmine Trinca.
Watch a trailer for The Secret Life of Walter Mitty below: