Page Six reports that the couple have taken up temporary residence at "a swanky resort in the Bahamas" called Albany, which is partly owned by Tiger Woods. Forbes once called it "one of the most exclusive resorts in the world."
Will and Jada's 19-year-old daughter, Willow, is also reportedly with them.
The "Bad Boys: For Life" star has previously hung out at the celebrity hotspot, which also apparently counts Kate Hudson and Justin Timberlake as members.
According to Page Six, Will and Jada jetted off to the Caribbean after filming "Red Table Talk," during which she acknowledged that she had a romantic "entanglement" with August Alsina. (Will, however, made her admit it was a "relationship.")
Both Will and Jada said the romance occurred while they were secretly separated.
"We decided that we were going to go separate for a period of time, and you go figure out how to make yourself happy, and I'll figure out how to make myself happy. … I really felt like we could be over," Will said.
"At that point in time, it was indefinite," Jada agreed.
While chatting about the tryst with Will, Jada said she wanted to help August through physical and mental health traumas. She added that she was "broken" at the time of the romance.
"We did everything we could to get away from each other, only to realize that's not possible," Jada told Will, adding that she didn't see it as a "transgression."
"Through that particular journey, I learned so much about myself and was really able to confront a lot of emotional immaturity, emotional insecurity — and I was really able to do some really deep healing," she said.
The duo eventually reconciled. They have not been in communication with August since.