But will it be a boy or a girl? – here's everything you need to know…
Meghan Markle and Prince Harry have not yet revealed the sex of their first baby.
It's possible to know a baby's sex at around 16-20 weeks.
American forensic artist Joe Mullins has created pictures of what he imagines the couple's son or daughter would look like.
The baby, whether it's a boy or a girl will take the surname Sussex.
Meghan and Harry announced the pregnancy to the public on October 15, 2018.
The Palace broke the news via a statement on Twitter.
It said: "Their Royal Highnesses The Duke and Duchess of Sussex are very pleased to announce that The Duchess of Sussex is expecting a baby in the Spring of 2019."
"Their Royal Highnesses have appreciated all of the support they have received from people around the world since their wedding in May and are delighted to be able to share this happy news with the public."
The news comes five months after the Royal Wedding in May 2018.
It's believed that the couple shared the news with the Royal Family in private at Princess Euqgenie's wedding.
Bookies have already set odds on what Meghan and Harry's first child will be called.
Here are the odds as supplied by Ladbrokes…
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