The "30 Rock" star made the announcement during a taping of "/*The Oprah Winfrey Show*/" on Wednesday. According to People magazine, the 40-year-old actress is five months along.
Fey and her husband already have a 5-year-old daughter, Alice.
Fey's appearance on "Oprah," to promote her new memoir "Bossypants," will air on April 12.
The Associated Pres contributed to this report.