"They are ecstatic," Nielsen's rep, Joy Limanon, tells PEOPLE. The baby is due in the early summer.
This year, the Danish-born, New York-based Nielsen, 42, appeared as Detective Dani Beck on NBC's Law & Order: Special Victims Unit. She costarred with Russell Crowe in 2000's Gladiator and will next be seen playing a journalist in Iraq in the February drama The Situation.
She and Ulrich, also 42 and a Denmark native, have been dating for about two years.
Nielsen has a 16-year-old son, Sebastian, from a previous marriage; Ulrich is the father of sons Myles, 8, and Layne, 5, also from a previous marriage.
Last year, Nielsen told PEOPLE that dating Ulrich hadn't upped her rock credibility with her son. "He's not impressed whatsoever," she said. "It'd be better if (Lars) was a guy struggling to sell CDs out of a suitcase at Grand Central Station. But Metallica? Not impressed."