According to local media, the 38-year-old actress had recently said she was expecting her second baby with the 47-year-old 'Boardwalk Empire' star.
"Everyone was very sweet on set today, and you always get a little bit more attention when you're pregnant, which is fabulous," she had said.
Since the announcement of their second child, the couple has stayed away from red carpet and major public events, reports the E! Online.
"I'm feeling good. I'm not getting that much sleep, but that's alright! It goes with the territory," Rose told E! News after welcoming her first child. "I'm nearly there. I went to the gym yesterday, which was exciting. I haven't done that for a while!"
The 'Bridesmaids ' star and the 'Ant-Man' star already share a 21-month-old son Rocco.
Rose Byrne is known for her roles in films like 'Insidious' and its sequel, the 'Neighbors' and the franchise movies 'X-Men: First Class' and 'X-Men: Apocalypse.' (ANI)