Shelley and Henderson were rumoured to be an item after they were spotted holding hands last month, but Henderson dismissed reports by saying the pair were just good friends. She has since been spotted arm in arm with Cuthbert outside the contestants' hotel.
According to The Mirror, Rylan Clark was seen comforting Shelley after Cuthbert and Henderson spent time together during a group trip to Disneyland Paris.
Henderson later posted a picture of Cuthbert on her Twitter page and called him a "teddy bear".
"Ella and Josh have always been good friends," said a show insider. "They get on really well and the first signs of romance started to show when they went to Disneyland early in the week.
"They were hanging out all the time and George was left by himself. On Tuesday morning George realised what was going on as they were all staying at the Disneyland hotel together.
"Ella hadn't spent much time with George and was getting on really well with Josh.
"When George found out about the situation Rylan had to calm him down as he was on the verge of tears."
The source continued: "Neither Ella or Josh seemed to really care about how their actions or feelings towards each other were affecting George... [They] didn't seem to mind who saw them together.
"Josh is quite protective around her and had his arm round Ella as they entered the back door of the hotel. They seem like two little lovebirds when they are together."
In the past, Henderson has spoken about her desire to fall in love - even if it ends in heartbreak - because it means she will be able to draw on different emotions when songwriting.
"I haven't been in a proper relationship," she explained. "It sounds weird but I can't wait to fall in love and be heartbroken because I know I write the best songs when feeling strong emotions."
The X Factor continues tonight (November 18) at 8pm on ITV1.
Photo gallery - The X Factor Guilty Pleasures week:
Copyright: Ken McKay/Thames/Rex Features