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.
Celebrity Breakups and divorces of 2014 [PHOTOS]