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.
The Berkshire-born actress Kate Winslet is due to meet the Queen today. The Oscar winner from Reading is to be honoured with a CBE. The accolade is to reward the thirty six year old for her contribution to the arts.
Local people have also been honoured. Two scientists based at the Defence Science and Technology Laboratory in Porton Down were given OBE's. Dr Paul Rice has been recognised as a world-leading expert in the developing defences against chemical and biological attacks.
And Dr Carl Mayers has been awarded an OBE for his work which includes a pioneering screening and training programme that made a significant impact for the UK military in Afghanistan.
In Southampton, teacher Manju Tank received an MBE for helping Hampshire’s ethnic minorities access vital services.
In Kent, one of the leading hop growers Tony Redsell who farms extensively in Faversham, Canterbury and Thanet was awarded an OBE. Congratulations also to Police Constable Kim Julie White for her services to Policing and the Travelling Community.
Former stuntman Eddie Kidd, actors Kate Winslet, Jenny Agutter and Kenneth Branagh are among those recognised in our region on the Queen's Birthday Honours list today.
Kenneth Branagh, born in Reading and currently filming at Pinewood, is to be given a knighthood for services to drama.
Comedian and presenter Richard Stilgoe, from Surrey, will also receive the honour.
Among those awarded an OBE in our region will be Jenny Agutter, for charitable services, Eddie Kidd, for services to charitable giving, and Victoria Pomeroy, Director of the Turner Contemporary in Margate.
MBE's will be handed to Trevor Weeks, founder of East Sussex Wildlife Rescue, for services to animal welfare, and basket maker Mary Butcher, from Canterbury.
CBE's will go to Mary Berry, cookery writer and broadcaster, and Kate Winslet.
Chief Constable Ian Learmonth, of Kent Police, will receive the Queen's Police Medal.