It was also announced that the Queen, the Duke of Edinburgh, the Prince of Wales, Duchess of Cornwall and the Duke and Duchess of Cambridge were "delighted" with the news.
And just a few hours after their big news was revealed, Harry gave a speech in which he touched upon their baby's gender. "We are very excited".
A beaming Duke and Duchess of Sussex thrilled thousands of fans outside the Sydney Opera House on Tuesday during their first meeting with the general public since the former Meghan Markle's newly announced pregnancy.
During this tour, they will visit Australia, New Zealand, Fiji and Tonga.
They also mentioned Meghan's mother. There Harry spotted a familiar face in the crowd - 98-year-old Daphne Dunne who he met during his 2015 and 2017 visits to the country.
The couple have already been to the iconic Sydney Opera House and the city's famous Taronga Zoo.
They will return to London from Auckland on 1 November.
The prince told Ms Dunne: "I was looking for you earlier and hoped you'd be here, it's so good to see you again". She explained that her first husband Albert Chowne had been given the highest award in the British honors system after he died in Papua New Guinea in 1945.
Sue said she considers the younger royals "very much" vital to the family's ongoing role in Australia and the world. "Harry has told me all about you and your special bond, it's so lovely you came to see us, thank you".
Dunne later said Meghan told her "she had heard all about me; she's so lovely".
Some Australians may be anxious to ditch the country's royal connection, but you would not know it from the way the tour has been supported.