In a brief statement from the royal couple, they shared their "immense joy" about the pregnancy. The child is due by the end of the year, but few other details were released.
The soon-to-be member of the royal family will become the heir to the throne of the tiny principality of Monaco.
Prince Albert assumed rulership after his father, Prince Rainier, died in 2005. His mother, actress Grace Kelly, was killed in a car crash in 1982.
Prince Albert, who has a 22-year-old daughter, Jazmin, and a 10-year-old son, Alexandre, from previous relationships, has been married to his South African wife since July 2011.