Waterston has yet to share the identity of the baby's father or address her pregnancy.
She discussed her desire for privacy in an interview with Natasha Lyonne for Interview magazine in May 2017.
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"It's probably psychotic, but I live in these two extremes. In the work, it's all output and expression, obviously, and in a sense, it's a very social activity. But I find I need to recover a little from that," the star said.
"You're like that, too," she told Lyonne. "We've canceled plans because both of us have felt like hiding from the world."
Waterston plays Tina Goldstein in "Fantastic Beasts: The Crimes of Grindelwald," which opens in theaters Friday.
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