The baby is expected next spring, her representative said.
Bell, 32 and Shepard, 37, started dating in 2007 and have been engaged for nearly three years, reported People magazine.
"They're so excited, they're both ecstatic. They can't wait to become parents. Kristen had a little bit of morning sickness early on but she just started shooting the second season of House of Lies and is feeling great now," a source said.
While promoting their film "Hit and Run" this summer, the couple said children were definitely in their future and would likely come before wedding because they don't plan to marry until same-sex marriage is legal in their home state of California.
"We wouldn't want to invite all of our friends who don't have that right to celebrate us, who have that right. We just don't feel right about that," Shepard had said.