Mendes is teaming with BBC Films and DreamWorks on the film, which tracks the disillusionment and desperate search for fulfilment of a married couple in 1950s suburban America.
It is the first time Winslet and Di Caprio have starred opposite each other since 1997's Oscar-winning, all-time box-office hit Titanic.
Head of BBC Films, David Thompson said of the project: 'Having bought the rights to the book and developed it, we could not be more delighted at the way this film has come together. This is an extraordinary story with wide international appeal and resonance. To be working with such outstanding talent from both sides of the Atlantic is particularly exciting, and is very much in line with our strategy of attracting world class talent to BBC Films' projects as well as giving opportunities to new talent.'
The screenplay was written by Justin Haythe (who co-wrote 2004's The Clearing with Pieter Jan Brugge) and John N Hart, Scott Rudin, Bobby Cohen, and Mendes will produce in association with Mendes' Neal Street Productions, BBC Films and Evamere Films.
Production is due to start this summer in the US. Worldwide distribution will be handled by Paramount.