Twelve-year-old Natasha Alexander performed a song for the World of Dance star, and Lopez, 47, had an adorable reaction all while Rodriguez, 41, proudly documented the moment Wednesday on his Instagram story.
“I’m a little jealous of Tashi but Jen look so happy so I’m happy for my girl,” the retired Yankees player captioned his video.
Rodriguez and his daughter have been in Las Vegas with Lopez as she gets ready to perform this weekend for her All I Have residency dates. On Wednesday, they boarded a private jet from Miami to Las Vegas.
“They arrived in Las Vegas together. They both looked happy,” a source previously told PEOPLE of the couple. “J. Lo has several shows this week. A-Rod is staying in Las Vegas with her.”
This isn’t the first time they have brought their families together since their relationship became public.
In April, Lopez and Rodriguez took their kids to the Dominican Republic during Easter weekend. Emme and Natasha seemed to hit it off, with the Shades of Blue actress sharing an Instagram photo of the two smiling together.