Nielsen, who was previously married to Sylvester Stallone from 1985 until 1987, shared the news to Instagram on Wednesday with a photo of her large baby bump and the caption, "Family getting larger".
This is the fifth child for the movie star. She already has sons Julian, 34, Killian, 28, Douglas, 25, and Raoul, 23.
The Eighties icon has been married to Italian TV producer Mattia Dessì, 39, since 2006.
He is her fifth husband.
She was previously married to Raoul Meyer from 1993 to 2003, Sebastian Copeland from 1990 until 1992, Sylvester Stallone from 1985 until 1987 and Kasper Winding from 1983 until 1984.