I would argue it largely comes down to good journalism and connection to inside sources.
My sister is the editor for a very high profile UK gossip magazine. All of their information regarding celebrities comes from a mixture of sources, including friends/family of the celebrity, leaked information from their agents, leaked information from the celebrity themselves, "open" information from the celebrity through interviews and even the likes of Twitter and Facebook (they have crawlers that will automatically alert them when celebrities of interest post anything on social media).
They also spent A LOT of time reviewing other news sites, so they can use stories from there (and credit them obviously).
The point I'm making is that when it comes to the film world, it's going to be very similar. Magazines/news sites will know about a celebrity featuring in a particular movie as that celebrity or more likely his team will have alerted the magazine to the information. It suits both their purposes - the magazine gets a story, the celebrity gets publicity for himself and the movie.
It's also worth pointing out that an awful lot of information that is printed it known well in advance. Things like movie reviews can be written weeks before the actual premiere if advance copies are given out (again, this would happen at my sister's magazine). The review is typed up, stored, and finally released on an agreed date with the publishers. So if it ever appears like a magazine/news source suddenly has new information, the truth is they could have been sitting on it for a while.
Then, there's also information that is widely known in media circles, but it just hasn't necessarily been released or "officially" confirmed. Take things like celebrity implants - these celebrities are being tracked every single day. ANY changes are noticed and so things like implants are easily spotted, even if not confirmed by the celebrity in question. The same goes for films. Leo DiCaprio may not need to confirm he's in a new relationship or something like that if his movements/whereabouts are being tracked ALL THE TIME. This information just becomes "known" throughout the media.
So in summary, most information comes from either the celebrities themselves or sources close to the movie, whether that be family, agents, publishers, etc, or from good investigative journalism.