Rudolph and her filmmaker beau Paul Thomas Anderson are already the parents of 3-year-old Pearl, People.com said.
"I wasn't planning on sharing it, but, yes, I am pregnant!" Rudolph told "ET Canada" in an interview set to air Monday.
"The first time you are like wide-eyed: 'What are we doing? Who's coming? How do we take care of them?' But this time, I'm like, 'I have to sit down, I'm pregnant,'" she said. "When you have a 3 1/2-year-old, you don't have time to rest and nap and do all the those sweet pampering type things you did for yourself the first time. You are like, 'I got to get to bed!'"
Rudolph is best known as a former longtime cast member of "Saturday Night Live." She has also appeared in the movies "As Good as It Gets" and "A Prairie Home Companion," and will soon be seen in the film "Away We Go."
Anderson's directing credits include in "Boogie Nights," "Magnolia" and "There Will Be Blood."