The publication reported the couple told friends and family after a successful 12-week scan last week - meaning Pippa's due date is roughly the first week of October.
The happy news could not have come at a better time for James and Pippa, who have been dealing with the fallout of James' father being arrested last month, accused of at least two accounts of rape.
It's not surprising the first person Pippa told was her sister, the Duchess of Cambridge, Kate Middleton, who is only days away from giving birth herself.
A source told The Sun that Kate "could not have been more delighted" with the exciting news.
"When Pippa found out she was pregnant, she was obviously thrilled and utterly overjoyed," a friend told the publication.
"Naturally, big sister Kate and parents, Carole and Michael, were the first people she told — James aside — and they could not have been more delighted."
The couple have been open about their desire to start a family.
Pippa's extreme pregnancy workout - "preparation for the big event and like an athlete."
A known fitness fanatic, Pippa Middleton will be working out through her pregnancy.
She worked out endlessly to get in shape for her wedding, and friends told Woman's Day she wouldn't be giving up her workout regimen during her pregnancy.
"She has seen other fit and healthy mums-to-be with a small, neat baby bump – and she's hoping to stay as active as possible right up until the baby is born."
The Daily Mail captured pics of the 34-year-old leaving the luxurious KX gym in Kensington, West London last Thursday. The images show the mum-to-be carrying a pink folder, said to be bespoke pregnancy programme from the gym.
The gym is known for its celebrity clientele, and its bespoke packages, including a pregnancy support programme.
The KX website explains that the programme has been developed by in-house wellness experts and offers a "holistic training regime."
"Like any physical challenge, it takes months of preparation for the big event, and like an athlete, you too could benefit from a clear stage-by-stage, periodised holistic training regime."