TVGuide.com reported the happy news Tuesday.
This will be the second for Connelly and her husband, actor Paul Bettany, who she married in 2003. They are also the parents of a 7-year-old son.
The actress has a 13-year-old son, as well, from a previous relationship.
Connelly and Bettany co-starred in "A Beautiful Mind," the film for which the actress earned her Oscar.