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.
Kate Winslet has tied the knot with her third husband in a private ceremony in New York, her spokesman said.
The Oscar-winning actress was reportedly given away by her Titanic co-star Leonardo DiCaprio when she wed Ned RocknRoll in front of her two children and a small number of friends.
Their marriage plans had been kept a closely guarded secret following their engagement in the summer.
Winslet, 37, separated from her second husband, American Beauty and Skyfall director Sam Mendes, with whom she has a son, Joe, in 2010 after nearly seven years of marriage.
This followed the split from her first husband, assistant director Jim Threapleton, in December 2001.
The couple, who have one daughter, Mia, had only been wed three years when they divorced.
RocknRoll, 34, who changed his name from Abel Smith, is reportedly the nephew of Sir Richard Branson.
Their wedding took place in a converted barn and was attended by just six friends from each side, The Sun reported.
Winslet's spokesman said: "I can confirm that Kate Winslet married Ned RocknRoll in New York earlier this month in a private ceremony attended by her two children and a very few friends and family.
"The couple had been engaged since the summer."
The actress achieved worldwide fame for her role in the 1997 blockbuster Titanic, starring opposite DiCaprio.
Winslet, who won a Best Actress Oscar for post-war romantic drama The Reader, accepted a CBE earlier this year for services to drama - 100 years after the "unsinkable" ship went down.
At the time, she spoke of her love of acting but said being a mother was the "best job".
Oscar winner Kate Winslet will walk the red carpet tonight at the re-launch of the 3D version of the film that made her a star.
She will be joined by co-star Billy Zane and director James Cameron at the Royal Albert Hall in Kensington for the premiere of Titanic in 3D.