Mexico's attorney general said there are indications Kate del Castillo may have received money from Guzman for her tequila company, Honor del Castillo, according to the publication. Since the company is registered in Delaware, Mexican authorities are sharing information they find with the U.S., the publication said.
Del Castillo has been under investigation since 2015, when she began to meet with Guzman's lawyers, according to El Universal.
Penn, who allegedly accompanied del Castillo in the meeting she arranged for the Rolling Stone interview on Oct. 2, is not under investigation, according to the publication.
Guzman was eager to meet with del Castillo and had apparently never heard of Penn before the meeting, according to transcripts of text messages exchanged between the actress and the prison escapee.
The actress took to Twitter Wednesday, speaking out for the first time since the news broke of El Chapo's capture.
Del Castillo is best known for playing Teresa Mendoza in the telenovela "La Reina del Sur."
An agent for del Castillo has not responded to ABC News' request for comment. The Mexican Attorney General's office did not immediately respond to an ABC News request for comment.
But previously, she tweeted thanking her supporters.