The 36-year-old, who is currently shooting Bad Neighbours 2, has not confirmed her happy news officially, but was spotted with a small baby bump in LA.
Rose has been dating fellow actor Bobby Cannavale since 2012, but their relationship was kept very quiet until Bobby made a very public love declaration at the Emmys in 2013.
Accepting the Emmy for Best Supporting Actor for his role in the TV series Boardwalk Empire, the 45-year-old ended his speech by saying: 'And I want to thank the love of my life, Rose'.
Four years ago, Rose revealed she wasn't interested in marriage or kids. Speaking in an interview, she said, 'I have two nephews so I get to see how fundamentally a baby changes everything. So for now, the nephews will do, thank you.'
This baby will be the first for Rose but second for Bobby, who has a 20-year-old son named Jake, from his previous marriage to actress and screenwriter Jenny Lumet. Bobby has admitted before that after his son was born, he considered giving up acting and getting a 'real' job. We bet he's probably glad that he didn't now.
Rose has been spotted out and about with her bump in LA
Rose and Bobbu have been testing their onscreen chemistry in recent years, both appearing in 2015's blockbuster hit Spy, as well as starring in the films Annie and Adult Beginners, in which they played a married couple.
Speaking to US Weekly, the actress said the experience was fun but that it could have wrong if they didn't get along.
'The hardest part was that it was so quick, we did it in 22 days in the middle of winter and that was intense,' Rose said. 'We were all in a house together for the filming so if you didn't get along it would have been hard, but it was good. We all got along really well with one another.'
Bobby also had nothing but great things to say about working his girlfriend: 'It's just serendipitous, and why wouldn't I want to work with her? She's a great actress, she makes me laugh, she surprises me all the time with her work, and I like being around her.'