The baseball stars shot a scene with the cast of Entourage at Yankee Stadium in New York City on Wednesday, a source disclosed to the New York Post's Page Six.
Rodriguez and Teixeira are believed to be guest starring as potential investors in Turtle's (Jerry Ferrara) attempt to expand famed New York restaurant Don Peppe's into Los Angeles.
Yankees first baseman Teixeira previously visited the Entourage cast as they filmed in a Hollywood gym last week, an eyewitness revealed to the paper.
The source added: "Everyone's neck craned to see Mark [as he walked in]. The shoot became more about the Yankee visiting LA rather than the production."
The Yankees were in LA last week for a series against the Los Angeles Angels of Anaheim, which the New York team won two games to one.
While in California, Rodriguez and girlfriend Cameron Diaz were spotted on several dates only days after speculation emerged that the couple had split.
Entourage, which stars Adrian Grenier and Kevin Connolly, returns for its eighth and final season on July 24 on HBO.
> Kevin Connolly to direct Entourage episode
> Kevin Dillon: 'I'll miss Entourage'
Watch a trailer for the final season of Entourage below: