The actress, who is from Reading in Berkshire, says the baby is due at the end of the year.
The 37-year-old actress married Mr RocknRoll, 34, the nephew of Virgin tycoon Sir Richard Branson, in New York in December, almost 18 months after they met.
Winslet made her film debut in 1994's Heavenly Creatures and received her first Oscar nomination the following year for her portrayal of Marianne Dashwood in the adaptation of Jane Austen's Sense and Sensibility.
Kate Winslet and Ned RocknRoll have explained why they sought legal action to prevent "embarrassing" photos of him at a fancy dress party from being published in the press.
The couple issued a statement after a High Court judge blocked The Sun from printing the images from 2010.
We have stopped The Sun from publishing semi-naked photos of Ned taken by a friend at a private 21st birthday party a few years ago. The photos are innocent but embarrassing and there is no reason to splash them across a newspaper.
We recognise that in the internet age privacy is harder and harder to maintain. But we will continue to do what we can, particularly to protect Kate's children from the results of media intrusion. We refuse to accept that her career means our family can't live a relatively normal life.