Danes married British actor Hugh Dancy in 2009. The pair co-starred together in the 2007 big-screen drama "Evening."
People.com did not say what the baby's gender is or when he/she is expected to be born.
Danes, 33, is best known for her work on TV's "Homeland" and "My So-Called Life" and in the films "The Hours" and "William Shakespeare's Romeo & Juliet."
Dancy's movie credits include "The Jane Austen Book Club" and "Confessions of a Shopaholic." He is to appear next season in the new TV drama "Hannibal."