The 38-year-old actress, who is promoting her new film Contagion, laughed as she revealed she already knew about the big news before the world found out at the MTV Video Music Awards, but had to keep it to herself.
'Oh yes, I've known for a while,' she told Entertainment Tonight. 'Someone told me the other day, 'oh, Beyoncé is pregnant' and I was like, 'no, why, who told you that?''
Paltrow was recently photographed with the singer on a yacht in the Mediterranean and said she is doing great.
'She was very happy,' she told Extra. 'She turned 30 - she's got a baby on the way - a great week for her.'