The Fargo season 3 costars were spotted looking cozy while on the set of Winstead’s film Gemini Man in Georgia on Monday.
McGregor, 47, clasped Winstead’s hand in his as they went for an evening stroll together after reports that the two had split.
The Trainspotting actor looked deep in conversation as Winstead, 33, looked relaxed by his side while wearing simple skinny jeans, a blue cardigan and boots.
McGregor also looked laid back as he sported a white T-shirt, jeans and a dark coat with his glasses hanging from his shirt collar.
Allison Cobb, who works for a local newspaper, tells PEOPLE the couple “were at ease” and “seemed so comfortable together.”
Ewan McGregor and Mary Elizabeth Winstead
Speculation that the two had separated and that McGregor star had reunited with his ex, Eve Mavrakis, surfaced in February. An insider rebutted the rumors and told PEOPLE at the time that Winstead and McGregor were still dating.
The actor filed for divorce from Mavrakis in January, citing irreconcilable differences as the reason for their separation after 22 years of marriage. The two share four children: Clare, 21, Jamyan, 16, Esther, 15, and Anouk, 6.
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While the couple announced their split in October of last year, a family source previously revealed to PEOPLE that the two had been separated since last May.
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The announcement came after McGregor was seen kissing Winstead, who plays his love interest in FX’s Fargo.
Winstead split from her husband, Riley Stearns, in May of last year. They married in 2010.
- with reporting by ELISSA ROSEN