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.
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Increasingly cloudy with drizzly rain tonight. A cloudy start on Monday but brightening up with plenty of sunny spells in the afternoon.
The grass pollen risk will rise to high during warm, dry weather.
Cloudy with patchy rain and drizzle this evening. Mild tonight, then dry with plenty of sunny spells tomorrow.