Callahan, who split from ex-husband Shane Warne last year around the time he was first romantically linked to Elizabeth Hurley, has reportedly been dating model Roberts for nearly two months.
As they arrived hand-in-hand at Myer's Autumn/Winter fashion launch in Melbourne last night, Callahan told The Daily Telegraph: "Everything is good... it is our first date."
Roberts said of the media attention: "It is okay, I am taking it all in my stride. We take it a day at a time."
Other guests at the event included newlyweds Chris and Rebecca Judd, Neighbours actress Tottie Goldsmith, Packed To The Rafters star Hugh Sheridan and singer Natalie Bassingthwaighte.