James and the brunette looked happy as they left together, before enjoying a short stroll along the ski resort's highly trafficked path.
She later lit a cigarette for the businessman before appearing to ask for directions as they prepared to venture into the picturesque Colorado resort town.
Jesy Nelson is said to be dating musician Harry James, in her first romance since dating TOWIE star Chris Clark.
The 26-year-old was spotted by fans on a trip to Mykonos while holding hands with the London-based hitmaker, as her long auburn coloured tresses and his bright blue shaved head seemingly differentiating the pair from fellow holidaymakers.
The woman, who bears a striking resemblance to James' exes Jodhi Meares and Kate Fischer, has been identified only by her first name.