Hennessy and her husband, Paolo Mastropietro, have a 4-year-old son, Marco.
Hennessy told People magazine she kept quiet about the pregnancy because, "I like to be sort of tentative about these things, but it's definitely a boy. I'm still trying to find a name that goes with Mastropietro."
Hennessy, who starred in "Law & Order" before "Crossing Jordan," which was canceled in May, is focusing on another interest, music. She said she was working on an album that should be finished in the fall.