Jose Canseco Fires Back After Ex-Wife Denies Affair With Alex Rodriguez Canseco is doubling down on his claim that Alex Rodriguez cheated on Jennifer Lopez. His initial accusation surfaced on March 10, when Lopez and Rodriguez first announced their engagement. Canseco claimed that Rodriguez had an affair with his ex-wife, Jessica Canseco. Jessica took to Twitter a few days later, denying her ex-husband’s accusations. Jessica Canseco, via Twitter Jose responded by challenging Jessica and Rodriguez to a polygraph test. He also offered his condolences to Lopez, saying, "the truth has to be told.” Neither Lopez nor Rodriquez have responded to Canseco or released a statement on the allegation.