She's already the mom to four sons - Raoul Meyer Jr.
She married her fifth husband, Mattia Dessi, in 2006.
Nielsen married Sylvester Stallone in 1985 and the pair eventually divorced in 1987.
Nielsen, who was also a model before she went into acting, has been married five times.
The Red Sonja star showed off her giant baby belly on Instagram, along with the caption "family getting larger".
Nielsen is the mother of four adult sons (including one with ex-fiancé, former National Football League player Mark Gastineau).
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A number of women replied to Nielsen's initial post, stating that they were inspired by her example.
"I'm committed to my sobriety, and I'm not going to let this momentary relapse define me", she told Radar.
The actor, who is best known for her roles in Rocky IV, Cobra and Beverly Hills Cop II, originally announced the news two days ago by sharing another photo of herself appearing to be pregnant.
Nielsen's eldest son Julian, 34, is from her first marriage to Kasper Winding.
The Danish-Italian actress tied the knot with husband Mattia in 2006 in a ceremony in Malta after having an official ceremony in February 2005.
In 2005 she was featured in the VH1 reality series "Strange Love", which centered on her relationship with rapper Flavor Flav.