"This is very new, they're taking it slowly," an insider close to Mulaney said. "They met at church in Los Angeles."
According to the outlet, the stars met years ago and have stayed friendly with one another since. When the comedian was admitted to rehab, she sent him well wishes online.
"Sending SO MUCH love and support to John Mulaney," she tweeted at the time. "You got this."
Reps for the two did not immediately respond to Fox News' request for comment.
Mulaney made his return to the stage on Monday for a stand-up routine in New York.
He’s also set to soon make his Hollywood return with Amazon Prime’s "Cinderella" and Disney+’s "Chip ‘n’ Dale: Rescue Rangers."
Munn, 40, is known for appearing in HBO’s Aaron Sorkin-penned "The Newsroom," as well as for playing the superheroine Psylocke in "X-Men: Apocalypse."
Monday was also the day that news broke of his divorce from his wife, artist Anna Marie Tendler, after six years of marriage.
"I am heartbroken that John has decided to end our marriage," Tendler told Page Six via a rep when the news broke. "I wish him support and success as he continues his recovery."
Mulaney has been open about his struggles with drinking in past comedy specials. "I don’t drink. I used to drink, then I drank too much, and I had to stop. That surprises a lot of audiences, because I don’t look like someone who used to do anything," he shared in his 2012 special "New In Town."
In an Esquire cover story, the Emmy-winner said his drinking started as a teen and it led him to try cocaine and prescription drugs.
Fox News' Jessica Napoli contributed to this report