Middleton, the sister of the Duchess of Cambridge, Kate Middleton, reportedly told family and friends about the exciting news after she had a 12-week scan last week.
Pippa and the Duchess of Cambridge at her wedding previous year.
David Matthews (right) waves to well-wishers at the wedding of his son James Matthews and Pippa Middleton at St Mark's Church in Englefield, Britain, May 20, 2017.
Reports circulating this morning suggest that Pippa Middleton - Kate's younger sister - is ALSO pregnant.
He allegedly carried out two offences in the late 1990s. but he has called the claims "untrue and scandalous".
She "could not have been more delighted", a friend told the paper.
The Duchess of Cambridge, who was reportedly the first person to be informed of the news after the expectant couple, is said to be thrilled, with reports that she "could not have been more delighted".
However, the father-in-law has vehemently denied the accusations against him.
The Duchess of Cambridge is also expected to give birth shortly to her third child.
"It's been a tough few weeks for the two families, so this has provided some much-needed happiness and light relief".
The news comes after a hard few weeks for the family following allegations of rape against Pippa Middleton's father-in-law David Matthews.
Spencer Matthews and his fiancée Vogue Williams recently announced their exciting baby news too.
The friend added, "Pippa and James have always known they wanted children".
It's believed the baby is due in October.