The Titanic co-stars hit the Carlyle hotel for a bite to eat, the New York Post reports.
The film stars have been pals since they shot the blockbuster James Cameron movie 13 years ago.
In 2008 they teamed up again for the drama Revolutionary Road, directed by Winslet's then husband, Sam Mendes.
Winslet has previously spoken about the deep connection they share, saying, 'Leo and I are kindred spirits, we're cut from the same cloth.'
'We're like one of those old couples in When Harry Met Sally,' DiCaprio said at the time.