The 'Secret Diary of a Call Girl' actress and her husband Laurence Fox already have a three-year-old son, Winston, together and the couple will welcome their arrival next year.
However, Billie - who is 15 weeks along - was worried the pregnancy would her affect her role in new London play 'Reasons To Be Pretty' and offered to withdraw before its first official night on November 17.
However, the show's director, Michael Attenborough and writer Neil LaBute wanted her to continue.
Michael told the Daily Mail newspaper: "She was upset and told me she was pregnant. She very generously offered to withdraw from the show.
"I told her that I'd love her to do it and she just wept on my shoulder. She thought that was it. She was thrilled."
Billie, 29, has previously said she would like to have another child although was in no hurry.
The former 'Doctor Who' star said: "I am one of four and I always thought I would have a big family. Who knows what will happen? It's funny because when you get engaged, everyone asks when you are marrying.
"Then when you have a child, they ask when you are going to have a second one. We will just have to wait and see."
