The couple got married in 2012 and already have a three-year-old son, Max, reported Daily Mirror.
"James and Julia have loved every minute of becoming parents to their toddler Max and were keen to give him a brother or sister who is close in age. They're delighted to be pregnant again and can't wait to expand the family," a source said.
It has been a fruitful year for the actor as he won the BAFTA for his best comedy entertainment programme 'A League of Their Own' last weekend.