The pair — who recently met at a film festival — were seen laughing and joking as they pulled up outside in a car in New York.
There is no suggestion the pair are romantically linked. But when he realised they had been spotted by photographers, he sent his security men over to ask them to delete the pics.
Diddy then went over himself and insisted he was simply giving Sienna a lift.
He said: "Man, I was just being a gentleman and dropping her off.
"Yeah, we all hang out together but there’s no more to it than that."
Diddy then followed her into the hotel and wsa not seen until another 45 minutes.
The sighting comes as Sienna denies rumours she is dating Scarlett Johanssons former lover Josh Hartnett.