News Jennifer Lopez Gets a Late Night Visit From Boyfriend Alex Rodriguez on 'Shades of Blue' Set -- See the Pics! By Jennifer Drysdale 7:41 PM PDT, May 20, 2017 Backgrid Alex Rodriguez is all about visiting his girl at work!The former baseball star paid a visit to his girlfriend, Jennifer Lopez, on set of her NBC show, Shades of Blue, in Hamilton Heights, New York, on Friday. RELATED: Jennifer Lopez FaceTimes With Boyfriend Alex Rodriguez on the ‘Shades of Blue’ Set: Pics!Rodriguez kept Lopez company throughout her night shoot, sporting a reflective jacket and cool sneakers while the actress was dressed in costume as her character, Harlee Santos.Backgrid RELATED: Jennifer Lopez Dons a Stunning Floral Sheer Gown for Dinner With Alex RodriguezA-Rod even took to Instagram to share a snap from set."In the Heights #shades #midnight #harlee #mygirl," he captioned the pic. View this post on InstagramIn the Heights #shades #midnight #harlee #mygirlA post shared by Alex Rodriguez (@arod) on May 19, 2017 at 9:20pm PDTJ.Lo also posted a pic from the shoot."My life... Friday night filming #harleeboss #harleesantos #shadesofblue," she wrote alongside a cool black-and-white shot. View this post on InstagramMy life... Friday night filming #harleeboss #harleesantos #shadesofblueA post shared by Jennifer Lopez (@jlo) on May 19, 2017 at 7:07pm PDT RELATED: Jennifer Lopez Spends Time With Her Mom and Aunt on the Set of ‘Shades of Blue’As for whether Rodriguez might make a cameo appearance on Shades of Blue, Lopez told ET earlier this week that her boyfriend is "busy doing so many new, great things with his life and career.""I'm really proud of him," she gushed.See more in the video below.EXCLUSIVE: Jennifer Lopez on the Possibility of Boyfriend Alex Rodriguez Guest Starring on 'Shades of Blue'