Gyllenhaal, 34, married actor Peter Sarsgaard, 40, in 2009 after they dated for seven years. They have a 5-year-old daughter named Ramona.
The "Crazy Heart" and "Secretary" actress is about four months pregnant, one insider told the celebrity news Web site.
There was no word on whether she's expecting a boy or a girl.
Celebrity Families of 2014 [PHOTOS]