The Allied star's rep confirmed the exciting news to People.
No further details have been provided at this point but it's believed mother and baby are doing well.
Marion and her long-term partner Guillaume Canet already share five-year-old son, Marcel.
In 2012, she told Vogue of being a mum: "I've never been more exhausted. But I've never had more energy. This is the paradox of being happy. That's where it comes from."
Last year, the 41-year-old starred alongside Brad Pitt in the war movie Allied, which is set in 1942 and follows intelligence officer Max Vatan, played by Brad, who falls in love French Resistance fighter Marianne Beausejour, played by Marion, during a dangerous mission to North Africa.
They marry but their relationship is tested when Max realises his wife could be a Nazi spy.
While critics have praised the pair’s on-screen chemistry, their bond was thrown into the limelight after reports alleged Brad and Marion had an affair, which promoted Angelina Jolie to file for divorce.
At the time, Marion vehemently denied the allegations via social media.
"This is going to be my first and only reaction to the whirlwind news that broke 24 hours ago and that I was swept up into. I am not used to commenting on things like this nor taking them seriously but as this situation is spiraling and affecting people I love, I have to speak up," the actress posted to Instagram.
"Firstly, many years ago, I met the man of my life, father of our son and of the baby we are expecting. He is my love, my best friend, the only one that I need."