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Madonna, Alex Rodriguez

Brian Zak/Sipa Press via AP images; Kevin Mazur/ Getty Images

Madonna may have just split with her husband, Guy Ritchie, but she's getting into the groove with at least two men in her life.

E! News has learned that after a late-night afterparty Wednesday at the elegant Miami Beach mansion of Fontainebleau Hotel owner Jeff Soffer, Madonna concluded the American leg of her Sticky & Sweet concert tour with another sleepover at New York Yankees slugger Alex Rodriguez’s rental home on Miami's exclusive Star Island.

In fact, they spent several nights together in Miami during the days leading up to her Wednesday night concert at Dolphin Stadium, sources tells E!. A-Rod sat in the front row of her Miami concert.

According to the Miami Herald, the couple then partied with friends and other musicians at Soffer’s home until 5 a.m. on Thanksgiving Day.

Despite reports that Rodriguez planned to fly to New York with Madonna for turkey later in the day, MadRod remained in Miami.

A-Rod had an early afternoon holiday meal in south Miami with his daughters Natasha, 4, and Ella, nearly 8 months, and soon to  be ex-wife Cynthia.

Meanwhile, Madonna celebrated a Thanksgiving of sorts with her brother Christopher Ciccone, who this year infamously penned a tell-all book about her.

A source adds, "Now that she is through with Guy, they may see each other more often." Christopher has been critical of Ritchie, accusing him of being anti-gay.

Ciccone couldn't be reached for comment.

Later in the day, Rodriguez returned to his Star Island home to reunite with Madonna, where sources say they spent the night together again.

Madonna had a concert in Mexico City Saturday night and concludes her world tour there tonight.

Splash News snapped a picture of Madonna arriving in Mexico on Saturday. Despite rumors he would accompany Madonna to Mexico, A-Rod was not seen departing her private jet.

"Expect to see Madonna and Alex together a lot more," a tour source says. "She wants to take some time off and spend a lot of it with Alex."