Michele and Sigler have both suffered tremendous personal losses this summer.
Michele's boyfriend Cory Monteith died of an accidental drug overdose last month at the age of 31 while James Gandolfini, Sigler's on-screen dad from "The Sopranos," died of a heart attack in June. He was 51.
UsMagazine.com said the actresses bonded at the happy event celebrating Sigler's impending motherhood at a shower Saturday.
Michele has been keeping a low profile since Monteith's death, but seemed to enjoy herself at the party, staying close to her girlfriends, including actress JoAnna Garcia, the report said.
Ohio bar shooting arrested, charged with murder
LGBT community has 'bullied the American people': Bachmann