New York Yankee Alex Rodriguez spent Thanksgiving with rumoured love interest Madonna and his ex-wife, according to US reports.

The baseball star opted for the best of both worlds by heading over to his ex-wife's New York pad for some family time with his children, before popping over to Madge's for a slice of pumpkin pie.

According to NY Daily News, A-Rod's car was parked outside Madonna's house all night.

The sports star also fuelled rumours of a romance with the queen of pop earlier this week when he appeared front row at a concert for her Stickey & Sweet tour.

Madonna made a thinly veiled reference to A-Rod saying, “I’m sure you can relate about a long-distance love affair,” before going on to sing I'm So Far Away.

See Madonna's romances through the years below