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.
More top news
Crowds of racing enthusiasts from far and wide came to West Sussex to see cars of all variety race at the 75th Goodwood Members’ Meeting.
Thursday's forecast for the east of the region
Thursday's forecast for the west of the region