The Grey's Anatomy star announced in January that she is expecting her third child with husband Christopher Gavigan.
Capshaw has now revealed that her co-stars are joking about her pregnancy after she gave birth to daughter Eve in 2010.
"Everyone at work keeps going, 'God, you're pregnant again?'" she told People. "Because I really was pregnant last year! It does seem a bit like, 'What? How are you pregnant again?' Yet here I am!"
Capshaw explained that she feels "so lucky" to be expecting another baby and is not thinking about how having a third child will affect her family.
"For me, it's not about the challenges," she said. "I keep thinking about how lucky we are. For some reason, even with the third one, it really is never, ever lost on me that every single baby is a miracle."
Capshaw and Gavigan also have a 4-year-old son, Luke.