"We appreciate each other's sense of humor, we respect one another and we get along," the 45-year-old actor told ET's Nischelle Turner while promoting his upcoming drama, The Girl on the Train.
"I know it sounds simple but it's true!"
Theroux recalled that his suspicion was first aroused when Blunt refused to perform a very simple stunt that required her to jump up from the floor and run a few feet across the room.
"She was like, 'Yeah, I don’t think I’d be sitting on the floor. I think I’d be leaning against the counter,'" he remembered. "We were like, 'No, it makes total sense for you to be sitting on the floor. And then you just get up and run.' She was like, 'Nah, I’m not gonna do that. I’m gonna twist my hip or something.'"
Theroux said he told her he didn’t understand how she was "throwing Tom Cruise across the room [in Edge of Tomorrow] and going toe-to-toe with Benicio Del Toro [in Sicario]" but she wouldn't do this simple stunt.
"Later that day, we went back to my place and she was not having a cocktail and I asked, 'Are you pregnant?' And she was like, 'Shhh!!' And we had a big hug over that," he recounted. "It was a little secret we had to keep for a while until it became obvious."