"They are incredibly happy," a source close to the couple told People magazine. "They're very excited to welcome a new member into their family."
The Rush actress took to Twitter to thank fans for their well-wishes following the announcement of the happy news.
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"WOW. You guys are awesome. So kind. Thank you thank you thank you! PS. Babies eat mostly salsa right?"
The 29-year-old actress, who has not disclosed her due date, first met 38-year-old actor Jason on the season finale of Saturday Night Live back in 2011.
The pair began dating six months later and got engaged in January of this year, according to People. They are set to wed in New York next spring.
Earlier this year, Olivia made no secret of her hopes to some day have a family with Jason.
She told Marie Claire: "I'm open-minded about how many, but three, which I love, is like a little party. I am not trying to have kids now – there's no strict plan for anything in my life.
About her future husband, who she calls "the great love of my life", she said: "What happens, happens. He's so good with kids ... I've never before experienced looking at someone and thinking, 'That's who I want to raise a child with.'"
Both Olivia and Jason have been previously married and divorced. Former House star Olivia was married to Italian prince and documentary filmmaker Tao Ruspoli for eight years until 2011, while Jason was married to TV writer and producer Kay Cannon for six years. The two split in 2010.