A Mexican government source told ABC that both Penn and del Castillo were under investigation for meeting El Chapo.
The Penn interview detailed Guzman's entry into the dark business of drugs and his admission -- his first, according the New York Times -- of his leadership of his hugely wealthy but extremely violent narcotics empire.
The Times said Guzman had previously denied being anything but a farmer of "corns and beans", or ever using weapons.
To get his interview with Guzman, Penn said he evaded the Mexican authorities, trusting his life to the drug lord's associates and riding a single-propeller plane deep into the mountainous jungle.
"The flight had been just bumpy enough that each of us had taken a few swigs of a bottle of Honor tequila," he said.
Penn's first impression of the infamous fugitive was of a man who was making an effort to come across amicably.
"He pulls me into a 'compadre' hug, looks me in the eyes and speaks a lengthy greeting in Spanish too fast for my ears."
The men then began to get to know each other, with del Castillo acting as interpreter, over a meal of tacos and a shot of tequila.
A seven-hour interview and many follow-up phone and video interviews later, a picture emerged of the life El Chapo has led.
He described to Penn his early years in a "very poor family" selling oranges, soft drinks, candy and produce to make ends meet. At the age of 15, he made his first foray into drug dealing.
"I was raised in a ranch named La Tuna ... and up until today, there are no job opportunities [in the area]. The only way to have money to buy food, to survive, is to grow poppy, marijuana, and at that age I began to grow it, to cultivate it and to sell it."
Despite the inevitable bloodshed that comes with such business dealings, Guzman maintained he was not a violent man.
"Look, all I do is defend myself, nothing more," he told Penn.
Pushed on the moral question of being involved in the drug world, Guzman said it was the only way to survive.
"Unfortunately, as I said, where I grew up there was no other way, and there still isn't a way to survive, no way to work in our economy to be able to make a living."
He then passed the blame for the rampant rise of the narcotics business onto those who bought the drugs.
"If there was no consumption, there would be no sales. It is true that consumption, day after day, becomes bigger and bigger. So it sells and sells."