The 44-year-old actor looked sharp in a simple black tuxedo with black Garrett Leight California Optical sunglasses as he was accompanied at the event by director Leila Conners.
Leila, 52, looked glamorous in a black silk ruffled gown with red lips.
Leila and Leonardo previously worked together on the documentary film The 11th Hour in 2007.
Oh Mercy! takes place on Christmas night, when local police chief Daoud and his recruit Louis are confronted with the violent murder of an elderly woman and the neighbours of the victim are arrested in suspicion of the murder.