According to People, the 30 Rock star shared the news during a recording of The Oprah Winfrey Show earlier today.
The interview, in which Fey promotes her new memoir Bossypants, is due to be broadcast on Tuesday, April 12.
The comic actress already has 5-year-old Alice with her husband, composer Jeff Richmond. She recently said that she feels becoming a mother has made her "more of a sympathetic human being".
"When you're single, you're like 'let's work till 10'," she told OK. "You don't care.
"Once you have a kid, you're like, 'Oh yeah, if I'm exhausted because my kid was up all night with a cold, so are ten other people'. It makes you more of a sympathetic human being."
Fey is due to appear at the Nokia Theatre in Los Angeles for a joint book tour with Steve Martin on April 19.
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