"After careful consideration and in consultation with the king and queen, Princess Madeleine and Mr. Christopher O'Neill have decided that their child will be born in New York," Svante Lindqvist, of the Royal Court, wrote in a statement.
The baby is due at the end of February, Swedish news agency TT reported Saturday.
Swedish royal expert Roger Lundgren said the decision was purely a matter of practicality.
"She has had a tough pregnancy, she missed the Nobel banquet for example, and it is simply more convenient to give birth there than in Sweden," he said. "But many here at home will probably be disappointed, they want their princess back home in Sweden, as part of the royal family. The fact that Madeleine will give birth abroad cements a distance to her."
"It has no constitutional significance where she gives birth, as the king and queen have given their approval," Lundgren added. "Today we live in a global world, we live around the world and experience new things. This will be an international child which will get the best of different worlds."
O'Neill lives and works in New York.as an investment banker.