Zeta-Jones' lawyers, Lavely & Singer, say the pictures were taken using a telephoto lens while Zeta-Jones was sunbathing herself on a private estate in Cabo San Lucas, Mexico.
The pics appear to be taken just prior to Zeta-Jones giving birth to her daughter Carys, who was born last month.
Clear Channel, the US's largest radio operator, ran the pictures on 1,200 of its radio station websites.
According to Court TV's The Smoking Gun website, which obtained the lawyers' letter, in one of the images, which have been circulating on the internet for several days, Zeta-Jones can clearly be seen smoking a cigarette.
It is the cigarette smoking while heavily pregnant that is reported to worry Zeta-Jones more than anything else. In the health-fixated Hollywood, smoking while pregnant shows the Welsh star in a poor light.
The photographs are currently being offered for sale around Europe with European tabloid magazines seen as likely takers.
The latest legal action follows the recent high-profile case in London, where Zeta-Jones and Douglas sued Hello! magazine for running unauthorised pictures of their wedding in November 2000 after the stars signed an exclusive deal with rival celebrity magazine OK!.
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