The engaged hip-hop duo announced the news, which had already been strongly rumoured, as they arrived at the MTV Video Music Awards on Thursday evening.
Khalifa told MTV reporter Sway: "You know you my brother man, so we had to do it with you first and we had to do it with the whole world, and just let everybody know that we're expecting a beautiful young baby - we're having a baby!"
Rose, who showed off her baby bump on the red carpet, added to People: "We do know the sex, but we're [keeping it private] for now.
"We just found out two days ago, so we're super excited."
The couple met in early 2011 and announced their engagement in March 2012.
Rose, who has previously dated Kanye West, revealed earlier this year that she fell in love with Khalifa after they spoke on Twitter.
"I love everything about him. That's my baby. He is my little angel. I love him," Rose said about Khalifa.
Listen to Amber Rose and Wiz Khalifa's track 'Fame' below: