The couple co-starred in Steven Soderbergh's 2003 low-budget feature, "In God's Hands," which was never released. They have been a couple for more than four years, People said.
Sarsgaard also appeared with his fiancee's brother in last year's "Jarhead" and includes "Boys Don't Cry" and "Shattered Glass" among his credits.
It will mark the first marriage and child for Gyllenhaal, 28, and Sarsgaard, 35.
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