According to E! News, the couple were spotted leaving LAX with Halle's daughter Nahla to head to their mystery wedding destination.
Olivier proposed to the 'Monster's Ball' actress last year. They are currently expecting their first child together.
It will be Halle's third marriage, having previously walked down the aisle with David Justice in 1993 and singer Eric Benét in 2001.
Martinez - known as the 'French Brad Pitt' - was previously in a five year relationship with Kylie Minogue.
Speaking previously about her wedding plans, Halle said: "I do know it will be very small.
"I haven't been to many weddings, but I went to one this weekend with 250 guests. I thought, 'Wow - so this is a wedding, huh?'
"I've never had that, nor have I wanted that. I wasn't even trying to catch the bouquet!"