Jason Sudeikis and January Jones.

U.S. funnyman Jason Sudeikis has confirmed he's dating Mad Men actress January Jones, insisting the pretty blonde is a "great" girlfriend.

The two 30-somethings have been coy about their relationship and she recently denied his claims that he had seen her naked.

The Saturday Night Live regular, who was previously linked romantically to Jennifer Aniston, says, "We're dating, she's great. I'm very happy with everything."