"I'm about to be a daddy!" the 35-year-old announced during an appearance on Late Night with Seth Meyers.
When host Meyers asked Thompson if he is prepared for fatherhood, the actor replied, "I am terrified. I don't know what to do with babies."
"Like, what do you feed it and like put it away?" Thompson joked.
The star expressed that the part of the process that gives him the most stress is doctor visits. "A guy's doctor visit is straightforward... But women, that's an intricate type of situation. You guys go through a lot, I applaud you!" he said.
Thompson first came to fame on the Nickelodeon channel in the mid- and late-nineties. The actor performed in various comedic roles on the Nickelodeon show All That, and also starred in his own spinoff show, Kenan & Kel. He joined the cast of SNL in 2003, and is currently the longest serving cast member on the show. Former costar and interview host Meyers previously held the title, but left the series in February of this year.
Thompson and wife Christina were married in November 2011.