Halle, 46, stepped out at the high-profile event as Mrs Olivier Martinez for the first time, after marrying the French actor earlier this month in a small ceremony in France.
The Monster's Ball actress showed off her burgeoning baby bump in a loose-fitting black dress that fell just above the knee and featured a sheer grey top. She accessorised her outfit with simple gold bangles, leaving all attention on her shiny new wedding band.
Halle happily posed for the cameras next to Jennifer and Anna, and was later seen sitting and chatting next to Anna at the event.
Jennifer showed off her toned, tanned legs in a form-fitting white dress and had her hair tied back for the occasion. Anna, who is mother to ten-month old twins wore an animal-patterned blue high-necked dress and black ankle boots.
The X-Men cast took questions from the audience at the San Diego convention and Halle joked that her character, Storm, who she has played in previous films of the series, hadn't had much luck in love.
"Is she asexual and nobody has told me?" she joked.
Halle is set to reprise her role as Storm in the upcoming X-Men film, which is due to be released in 2014. By that point she will have given birth to her baby boy, who is due in October and will be her first child with husband Olivier.
The couple got engaged in March 2012 after having met on the set of movie Dark Tide, and wed in a private, intimate ceremony earlier this month in the beautiful Chateau des Conde in Vallery, just south of Paris.
The stunning actress already has one child, her five-year old daughter Nahla, from a previous relationship with Canadian model Gabriel Aubry. Halle was previously married to baseball player David Justice in 1992 and later soul singer Eric Benét in 2001.
Olivier, who has never married before, has previously been romantically linked to actress Mira Sorvino, singer Kylie Minogue and British model Rosie Huntington-Whiteley.