The Celebrity Big Brother winner, who got married in 2009, will make an official announcement once the pregnancy has passed the three month stage, The Times of India reports.
A source told the newspaper: "Shilpa is expecting and the couple are extremely happy. Only close family members and friends have been informed of the new arrival. They do not want to announce it publicly before the first trimester passes."
The Bollywood star, who achieved international recognition after winning Celebrity Big Brother in 2007, has wanted to start a family for a long time.
In an earlier interview, Shetty revealed: "I'm desperate to start a family. I just love children, and we've a beautiful ready made nursery. I want at least two children.
"There is already a child's bedroom here because Raj has a nephew and I can certainly see my children running around this place."
Shetty is currently focused on managing Rajasthan Royals, the IPL cricket team she owns with Kundra.