The 34-year-old prince, who married american actress Meghan Markle at Windsor in May.is now sixth on line to the throne.
Speculation that Meghan was with child raged over the weekend after the Duchess wore a coat to cover up at Princess Eugenie's wedding to Jack Brooksbank on Friday.
According to ITV's royal correspondent, Chris Ship, the Queen, Prince Philip and Prince Charles were all "able to congratulate" the expectant parents at the wedding on Friday, just before they jetted off to Australia for their first official overseas tour.
The news coincides with the couple arriving in Sydney this morning ahead of their 16-day trip in Australia, Fiji, Tonga and New Zealand.
The news about Meghan's pregnancy was announced by the Kensington Palace on their Twitter handle.
It's the couple's first official royal tour since getting married in May.
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Hundreds of well-wishers gathered with umbrellas outside the airport and Admiralty House in the hope of catching a glimpse of Harry and Meghan.
Harry and his wife, who was wearing black pants and a dark coat with maroon lapels, were scheduled to rest on the first day before starting the 76 activities on the agenda from Tuesday to promote environmental and conservation issues. Congratulations, Meghan and Harry!
The royals are likely to pet koalas, watch soldiers perform the haka and attend the Invictus Games, a multi-sport tournament for injured military veterans that opens on Saturday 20 October.
Holly and her co-host read out well-wishes from fans of the pair and she couldn't help but speculate on how the child would be genetically blessed.
In New Zealand, Harry and Meghan will tour the capital Wellington and visit Auckland and then Rotorua, which is famed for its Maori culture, and then head to Abel Tasman National Park in the South Island.
Pickled food producer Opies, which is based in Sittingbourne, said: "Congrats to Harry and Meghan on the Royal baby news!"