During an interview after last night's screening of her movie "Proof" in Los Angeles, Paltrow was introduced as a pregnant woman by moderator Lou Diamond Philips.
He asked the actress, "How far along are you?"
Paltrow answered, "Far enough along to feel very cumbersome."
There has been speculation for months about the pregnancy. The 33-year-old actress and Martin have a 20-month-old daughter, Apple.
Paltrow won an Oscar for her role in 1998's "Shakespeare in Love." "Proof," co-starring Anthony Hopkins, is an adaptation of the Pulitzer Prize-winning play.