The man, whose name has not been released, died Saturday morning at Huntsville Hospital, AL.com reported.
The woman, whose name has not been released, gave birth by Caesarean section, said Marshall County District Attorney Steve Marshall. He said he did not know the baby's gender.
The shooting happened on Thanksgiving Day when the man was invited to Thanksgiving dinner at his wife's home. The couple had been separated several months before, Police Sgt. Jamie Smith said Friday. The woman was eight months' pregnant.
Sometime after the meal, an argument began and the man shot the woman multiple times. He then shot himself in the head, Smith said.
Both were taken by medical helicopters to Huntsville Hospital.