Heard dazzled in a little black dress with a thigh-high slit, while Depp pimped it out in a sharp suit and hat.
Last month, Heard was photographed wearing what appeared to be an engagement ring. The actor reportedly spent almost $100,000 on the accessory.
Reports have suggested that The Rum Diary co-stars became engaged around Christmas and are planning a wedding in the Bahamas where Depp owns a private island.
The actor split from his long-term partner in 2012, Vanessa Paradis, the mother of his two children.