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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Cloudy and breezy for much of the day. Rain and stronger winds arriving tonight.
A mostly dry but cloudy morning. Heavy rain and stronger winds this evening.
Another cloudy and breezy day tomorrow. Turning windy with rain arriving tomorrow evening.