The 35-year-old actress - who already has five-year-old son Aleph with husband Benjamin Millepied - showed off her growing baby bump in a pink one-shoulder dress on the red carpet at the premiere of her film Planetarium at the Venice Film Festival.
Sources confirmed the news to Us Weekly, while one onlooker told the publication the actress was seen rubbing her tummy during the event.
Natalie recently admitted the frequent travelling she does for her work can make home life with her son hard.
She said: "I will never have the boredom or repetitiveness of an office.