The couple was reportedly heading to Canada where Winslet is scheduled to promote the movie "Labor Day" at the Toronto International Film Festival.
The parents-to-be looked casual as they strolled around the airport.
This is the first time the two have been seen together since announcing they were expecting their first child in June. Winslet, 37, and Rocknroll, 34, married in December 2012.
This will be Rocknroll's first child and the third child for the Academy Award winning actress, who has a daughter named Mia, 12, from her marriage to Jim Threapleton, and a son named Joe, 9, from her marriage to Sam Mendes.