Not only did they have sex when they were undercover, but they were on a few operations together... Gibbs left Jenny a picture of her from when they were in Serbia which was proof they were undercover there too. Jenny had talked about with Gibbs but Gibbs pretended to not remember it at that time since he was retired. They always had feeling for each other. And we find out later that Jenny could not pull the trigger to kill the woman she was supposed to kill on an op in Europe.
