The 25-year-old and boyfriend Sam Cooper will welcome the new arrival next year after a recent scan confirmed she is three months pregnant.
Speaking to the Sun newspaper, Lily has said that she and 32-year-old decorator Sam, who began dating last summer, are "both absolutely delighted".
The couple – pals for many years – told their friends and family at the weekend.
Lily, whose father is comedian and actor Keith Allen, has made no secret of her desire to be a mum, saying back in May that she hoped to be pregnant by the end of the year.
"I'd want to be really hands-on for the first two or three years of having a little one," she said at the time. "I don’t want to leave them."
Lily has hinted heavily that she will be taking a hiatus from her pop career recently – she has been busy setting up a fashion line with her sister Sarah called Lucy in Disguise, and has also bought a country home, telling friends she wants to settle down there.
In 2008, the singer tragically suffered a miscarriage after becoming pregnant by Ed Simons from the Chemical Brothers.
She then dated DJ Seb Chew and millionaire art-dealer Jay Jopling before finding romance with Sam, who she has referred to as "the love of my life".
"Sam treats me differently. He's told me he'll look after me forever," she said. "That's what I've always wanted – someone to look after me."