The 38-year-old actress - who has 17-month-old son Leonardo with husband Javier Bardem - is believed to be expecting her second child with the actor, Spanish TV programme Espejo Publico (Antena3) is reporting.
They claim a source close to the couple, as well as an insider who has been working with the actress in Madrid, have confirmed the brunette beauty is three months pregnant.
Penelope recently admitted she is having the time of her life being a housewife and staying at home to look after Leonardo, describing it as the "best thing in the world".
She said: "I`m a housewife and it`s beautiful, the best thing in the world. I know how to cook and it`s important to me to make fresh food every day. I don`t do crazy diets, just the good Mediterranean food that I love because it`s important to eat well."
Penelope also recently admitted she "worries less" since becoming a mother as beforehand she "always loved" to be concerned about everything in her life.
She explained: "For me, having my son means I worry less. I`ve always loved to worry - ever since I was a little girl people would tell me I worry too much. But these days I really have to pick my subjects to worry about because there are only so many hours in the day."