The actress hasn't announced the news herself, but the artistic chief behind her new play, Neil LaBute's Reasons To Be Pretty, has spilled the beans.
Michael Attenborough, the Almeida theatre's artistic chief, told the Daily Mail that Billie told him her news after she was distressed following the opening night of the theatre's current play, My City:
"She was upset and told me she was pregnant.
"However, she was Neil LaBute's and my first choice for the part - and fortunately the character is pregnant - so with a bit of judicious re-writing we're all delighted she'll be with us."
Billie, who is married to Laurence Fox, is said to be around 15 weeks pregnant. The couple are already proud parents to Winston, three.
Congratulations Billie and Laurence!