The couple, who attended the TV BAFTA Awards together on Sunday evening, are already parents to three-year-old son Max.
"James and Julia have loved every minute of becoming parents to their toddler Max and were keen to give him a brother or sister who is close in age," a source told the Mirror.
"They're delighted to be pregnant again and can't wait to expand the family."
Dressed in a beautiful black Alexander McQueen gown, Julia's baby bump went largely unnoticed as she joined her husband on the red carpet for the awards ceremony, where James picked up a BAFTA for football series, A League of Their Own.
The couple, who met in 2009, were introduced by their mutual friend, Mamma Mia! actor Dominic Cooper. James, 35, proposed on Christmas Day in 2010, and pair tied the knot at Somerset's Babington House in September 2012. Their son Max was born on 22 March, 2011.