'Penelope is about four months pregnant. She's really healthy now and will be a great mother,' the Daily Express quoted a source as telling JustJared.com.
The couple are reportedly looking forward to arrival of the new one in their life.
The couple have together starred in a string of films since first sharing the frame in 1992's Jamon, jamon.
They were cast in the 1997 Spanish film Live Flesh, after which they played lovers in Woody Allen's 2008 drama Vicky Cristina Barcelona.
Allen's film fetched the 35-year-old actress her first Academy Award for Best Supporting Actress.
Image: Spanish actress Penelope Cruz leaves the photocall for the British premiere of Broken Embraces at Somerset House in London on July 30.
Text: ANI | Photograph: Stefan Wermuth/Reuters