The 29-year-old actress is more than three months pregnant, reported New York Post.
A glowing Knightley fuelled rumours of a pregnancy as she stayed away from alcohol at a recent event.
The star appeared at her husband's side in an embroidered and billowy, ivory fur-trimmed Rocha dress very different from her usual fitted style.
Pregnancy rumours first emerged in November when a magazine reported that she and Righton were expecting and it was a happy surprise for the couple.