She captioned the snap: "Family getting larger".
This new 54-year-old parent is not an ageing roué with a wife young enough to be his daughter, but a woman with a husband young enough to be her son.
The star has been married to Italian TV producer Mattia Dessì, 39, since 2006.
The former Playboy model shared two photos of herself posing featuring her baby bump. Stallone was her second husband.
Copenhagen-born Nielsen is already mother to Julian, 34, Killian, 28, Douglas, 25, and Raoul, 23. Her three other sons are with Winding and fourth husband Raoul Meyer.
China Cuts Tariffs on Wide Range of Consumer Goods From July
The two sides had agreed earlier this month to look at steps to narrow China's $375-billion trade surplus with the United States. Trump also said a deal to ease sanctions on the Chinese tech giant ZTE would be forthcoming. "We lost the trade war long ago".
The "Cobra" actress has been married to Italian Mattia Dessi since 2006, and turns 55 in July.
Neilsen, who is several months into her pregnancy, has managed to keep her news quiet until now.
Nielsen is best known for her roles in Rocky IV and Beverly Hills Cop II.
Following Nielsen's pregnancy announcement, a number of fans flooded her recent Instagram posts with messages of love and support, with those hoping to have kids later in life calling her an inspiration. As readers know, Nielsen has battled addictions to alcohol and cigarettes, and even took part in Celerity Rehab. In April, actress Rachel Weisz, 48, announced that she and her husband, actor Daniel Craig, were expecting their first child together.