The terms of the potential deal were not known, but a deal could be announced as soon as Thursday, the WSJ said.
Express Scripts had a market value of $41.43 billion as of Wednesday’s close, according to Thomson Reuters Eikon data.
Express Scripts declined to comment on the report, while Cigna could not be immediately reached for comment.
Some of the deals in the sector have faced regulatory hurdles in the recent years, including Anthem Inc’s $54 billion deal to buy Cigna in 2015.
Last year, Anthem called off the deal after the U.S. Justice Department blocked the merger that would have created the largest U.S. health insurer.
Drugstore chain CVS Health agreed to buy health insurer Aetna late last year for $69 billion in the year’s largest corporate deal.
The deal came after Aetna’s $37 billion plan to buy health insurer Humana was blocked by a U.S. federal judge over antitrust concerns.