This will be the second child for Michael, who shares a 20-year-old daughter, Lily Mo Sheen, with ex Kate Beckinsale.
While not much is known about Michael and Anna's relationship, multiple outlets report that the two started dating in May following Michael's rumored romance with Aisling Bea after his split from Sarah Silverman last year.
To this day, Michael and Kate -- who dated for eight years before breaking up in 2003 -- continue to have each others' backs, and have no issues when it comes to spending the holidays together.
"I just really like him. He's family. I've known him since I was 21, so he's proper family now," Kate told ET in 2016. "We like hanging out with each other, so it's not like, 'Oh, who gets Lily?' or whatever. It's like, 'Whose house are we going to be at?'"
"I think we both really felt like, we really agreed on what would be the right thing for Lily. And I think, you know, not hating each other and fighting and all that would be awful for her," she continued. "I think we've also got a really similar sense of humor, and I do find that humor can save an awful lot of things and help a lot of things."