Nielsen joins a number of high-profile women having babies later in life, including singer Janet Jackson and actress Rachel Weisz. "It's been a long road, and so worth it".
The Red Sonja and Beverly Hills Cop II star and her 39-year-old husband Mattia Dessi told People magazine they were "overjoyed". "We've never been more in love".
"Family getting larger", she captioned the snapshot posted to Instagram on May 27.
We are unaware of which way Nielsen got pregnant, but we do know that she has wanted to grow her family since 2008, telling Hello! magazine: "The children have kept me going". It would be like starting all over again. "I'm young at heart, and I would be different this time [a] round".
Nielsen has four sons, Raoul Meyer Jr, 23, Douglas Meyer, 25, Killian Gastineau, 28, and Julian Winding, 34.
Nielsen is best known for starring in Rocky IV and Cobra alongside her second husband Sylvester Stallone.
Nielsen was famously attached to rapper Flava Flav of hip-hop group Public Enemy in the early '00s, and the pair appeared on VH1 reality show The Surreal Life.