The couple will welcome another girl into their family this year, reports USA Today. They already have a five-year-old daughter named Ramona.
"I find it difficult to pretend you're not pregnant, which I had to do," Gyllenhaal shared. "I didn't let anyone know until three-and-a-half months this time.
"I went to film festivals. I'm throwing up in the bathroom and having to keep pretzels in my purse, and having to fit into dresses."
The 34-year-old actress is currently promoting her new film Hysteria opposite Hugh Dancy, Jonathan Pryce and Felicity Jones.
Gyllenhaal, who was said to be four months pregnant back in November, revealed that she won't announce the due date or call the press, so that she can keep the birth of her second daughter private.
"I hope they don't make an issue of it this time," she shared. "I have to think about that stuff."
Hysteria arrives in cinemas on May 18 in the US.
Watch the trailer for Hysteria below: