The 37-year-old, who wed Rocknroll in a private ceremony in New York in December 2012, is also a mother to daughter Mia, 12, and son Joe, 9, from her previous marriage, reported People magazine.
"Kate and Ned are delighted over the news," Winslet's representative said.
The actress had earlier said that she plans to have more kids.
"I'm hoping to have more kids. I don't know whether one or two. Oh, God, I would love to have more," she had said.
The Oscar, Golden Globe and Emmy-winning actress and Rocknroll - who is the nephew of Richard Branson - began dating in the fall of 2011.
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