"I'm so excited to have a little girl," the Marie Antoinette director, 35, tells USA Today.
The father is Coppola's boyfriend, Thomas Mars, a singer for the French band Phoenix. The two met when he recorded a song with the band Air for her 1999 movie The Virgin Suicides.
Coppola says they have yet to select a name. "We're going to wait and see," she says. "When you're writing, you pick names for characters, but it's harder in real life."
Though she's known for her fashion sense (she's a muse to designer Marc Jacobs), she's been holding back on shopping for baby. "I haven't gone crazy, but I feel like I'm on the verge," she says. "All those little dresses. I tried to be open about both sexes, but it's so fun to have little girl stuff."
Her other baby, the film biopic starring Kirsten Dunst as the doomed 18th-century French queen, opens Friday. It received both boos and applause when it premiered at the Cannes Film Festival in May.
Coppola, the daughter of Godfather director Francis Ford Coppola, split with director Spike Jonze (Adaptation) in 2003 after four years of marriage.