Hadid, 25, and Malik, 27, have been dating off and on since 2015.
"Gigi is pregnant and she and Zayn are so in love," Us quoted an unnamed source as saying. "She's always wanted to start a family with Zayn."
An insider also told ETOnline.com the couple is very excited about the pregnancy.
"Gigi has kept the secret close to her family and friends for a while as she's only a few months along," the source said. "Once Gigi and Zayn got back together at the end of last year it was like they never skipped a beat and knew what they had was special. The couple and their families are overjoyed."
TMZ said Hadid is 20 weeks pregnant and it is unclear whether they know the sex of their baby yet.