The American celebrity magazine, US Weekly, says the 39-year-old is into her second trimester, but her spokesperson would not comment.
Watts was equally coy when pregnant with son Alexander Pete, known as Sasha, who turns one on July 25.
Watts, Schreiber and Sasha spent several months in Australia this year while Schreiber filmed the latest Wolverine movie.
She said late last year that she loved motherhood.
"It's a very powerful thing, I'm still finding it just so bizarre that this little thing came out of me," she told the Seven Network.
"He's just a joy, a complete joy, all those cliches are true.
"He just moves me every day." Watts best friend, Nicole Kidman, 41, is expecting her first child very soon.
