According to a source, Russell is more than four months along. The actress is already mother to son River, 8, and daughter Willa, 4, with ex-husband Shane Deary.
Russell, 39, divorced Deary in 2013, shortly after the first season of her and Rhys' FX drama. That same year, she and Rhys, 41, began a romantic relationship.
The couple are currently filming The Americans' fourth season, which premieres in March.