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.
"But every job takes me to a new place with a new schedule, and it requires a reinvention of ritual each time, even more so with a family.
"Every time I go on location, I have to figure out where to live, what activities are available for my son, how and when we will travel from our home base.
"When I'm not working. I'm pretty much exclusively with my family, so my rituals have to do with school, meal preparation, playdates, bedtime."
And the Black Swan star believes female friendships in Hollywood are very important.
She said: "It's so important, and we're prevented from it a lot because we don't get to work with each other a lot. I've actually been noticing it a lot even in kids' films recently, how you see even like a cartoon and there's like a girl in it, and we're used to that. It's a film of all men and then there's a woman.
"And acting for 20 years, I'm used to that - that I'm the woman on set. When we do get the opportunity to work with other women, we always end up just like running toward each other and embracing because it's such great energy to have."
- Bang! Showbiz