Zara and ex-England rubgy player husband Mike announced the happy news through a spokesperson, who said that the couple are 'thrilled'.
They added: 'The Queen and the Duke of Edinburgh and members of the Royal Family are delighted with the news.'
Zara and Mike are already parents to daughter Mia, three, who famously held the Queen's handbag in a recent Royal portrait of the family taken for the monarch's birthday.
'It just happened at the right time,' dad Mike revealed after the snap was taken. 'She was being a bit naughty. The queen got it quite right when she told her: "Just hold the handbag now".'
'And she did that. It ended up being a great photo for her.'
Zara and Mike announced their engagement in December 2010, and married on 30th July 2011 at the Canongate Kirk in Edinburgh, Scotland.
They revealed that they were expecting their first child in July 2013, and Mia arrived on 17th January the following year.
Speaking to the Telegraph in 2015, Olympic equestrian Zara said that motherhood had made her more 'settled' and confident in her career.
'I think you kind of know more about yourself,' she explained. 'You learn what you’re comfortable with. Having a child probably helps that. You’re in a place where you’re more settled, where you've got something else to focus on, so you don’t become obsessed.'
'That said, you’re just as driven as before, if not maybe more,' she said. 'I've found when people say "well now you've had a baby you won’t be able to do what you used to", that makes me even more determined.'
The new baby, who is said to be due around late spring, will be the sixth great-grandchild for the Queen and the Duke of Edinburgh.