Wilde and Sudeikis have been seen holding hands and sharing dinners after SNL rehearsals, reports US Weekly.
Sudeikis allegedly brought the In Time actress to an SNL after-party in New York on December 4.
A source claimed: "She's come to the [SNL] studio at Rockefeller Centre, and they've gone out to dinner after rehearsals."
In March, Wilde filed for divorce from husband Tao Ruspoli, which was finalised in October.
The actress has called her divorce a humbling experience. She said: "The trauma of the whole thing has been humbling, and for the first time, I'm a little bit wobbly.
"Even though it didn't work, there's nothing I regret about any of it. We're friends; his family is my family."
Watch the trailer to In Time below: