An onlooker told The Sydney Morning Herald that the pair were clearly ‘more than friends’.
According to the report, 40-year-old Lee was shirtless and in board shorts, while the mystery brunette was in a ‘barely there bikini’.
Henderson announced her shock split from husband Lee Henderson in October.
'Lee and I, we decided to separate,' Jackie O said.
'It's not a decision we took lightly at all,' she added.
The 43-year-old later revealed that she's no longer living at the family home in Sydney.
Lee has stayed on at the Vaucluse house with the pair's daughter, Kitty, seven, while Jackie is living alone at a property nearby.