In a scene shot on Thursday, Penn, who plays Plame's husband, reinacted Joseph Wilson's appearance on "Meet the Press" with the late Tim Russert at the NBC studio in Northwest.
Naomi Watts plays Plame. "Fair Game" is scheduled for release in 2010.
Director Doug Liman, whose credits include "The Bourne Identity" and "Mr. and Mrs. Smith, described "Fair Game" as a different kind of action movie.
"I feel like I've finally found a way to do an action movie that has neither guns, nor violence, nor car chases and yet hopefully will be as riveting as any of my Bourne films were," he said.