The star and her director partner Paul Thomas Anderson are already parents to two daughters, and they are expecting their third child over the summer (11).
Rudolph admits they don't know the baby's gender and she is looking forward to finding out when she gives birth.
She tells Access Hollywood, "I'm excited. The exciting part is not knowing who's coming. You have to wait nine months for a surprise, but then it's a good payoff because it really is a surprise.
"The sonograms don't help, because you always try to see the baby's face, and my babies usually do this (cover their face with their hands) in all their ultrasounds."