Using simultaneous observations from SOT and IRIS, we investigate the relationship between micro-jets (Katsukawa et al. 2007, Science) and subarcsecond bright dots (Tian et al. 2014, ApJL) in the sunspot penumbra. IRIS slit-jaw images of 1400 Å and 1330 Å clearly show subarcsec bright dots in the transition region above penumbra. They generally appear slightly elongated along the bright filamentary structures of penumbra and have life times less than a minute. Some of these show an apparent movement along the radial direction but not all of them. On the other hand, penumbral micro-jets with less than a minute lifetime are also observed in the SOT Ca II images. It was proposed that both the chromospheric penumbral micro-jets and transition region bright dots are formed due to magnetic reconnection process. These small-scale reconnection events in the lower atmosphere may play an important role in heating the penumbral materials. Using combined observation of the chromosphere by SOT on board Hinode and the transition region by the newly launched IRIS, we compare these two features and try to identify if they have the same origin. Our analysis shows that many of them are related and have a common origin. It also shows that some of the bright dots are not related to penumbral micro-jets and seems to originates from a different source.