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A cast member reported seeing a "fairy-like" figure in the grounds of the Chapel, while another said they spotted a person inside the building itself.
The actors are preparing to perform A Midsummer Night's Dream, which is being produced by the Roslin-based Nonsense Room Productions.
Producer Simon Beattie, who also works as a tour guide at the Chapel and appeared as an extra in Tom Hanks' blockbuster film The Da Vinci Code, said strange sightings were not unusual at Rosslyn Chapel.
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"When I went down there however, there was no-one there.
"We've no idea who the ghosts might be but it certainly seems that they are budding thespians and they have certainly livened up our rehearsals."