The babies, which are due this winter, will be the first children for the couple.
Romijn and O'Connell married last July after dating for about three years.
The model-turned-actress is best known for her roles in the "X-Men" movies and the TV series "Ugly Betty."
O'Connell's film credits include "Stand By Me," "Jerry Maguire" and "Kangaroo Jack." He has also starred in the TV shows "My Secret Identity," "Sliders," "Crossing Jordan" and "Carpoolers.'