The Grand Ducal family released a statement revealing that the 28-year-old would give birth in June.
"Their Royal Highnesses the Grand-Duke and Grand-Duchess of Luxembourg are very pleased to announce that Prince Félix and Princess Claire are expecting their first baby," wrote the Marshall of the Court's office.
"The birth is expected to take place in June. The Grand-Duke, the Grand-Duchess, Grand-Duke Jean and the members of the Royal Family, as well as the members of the Lademacher family, are delighted with the news."
Second-in-line to the throne Prince Félix and Princess Claire, née Claire Lademacher, married in September of last year in a romantic ceremony surrounded by their family and friends.
The pair said "I do" in Saint-Maximin-la-Sainte-Baume's magnificent 13th century Sainte Marie-Madeleine basilica. The bride wore a stunning floral-detailed long-sleeved gown by Elie Saab, the Luxembourg royal family's go-to designer.
Guests included Monaco's Pierre Casiraghi and his girlfriend Beatrice Borromeo, and members of the Luxembourg's Grand Ducal family, including Prince Guillaume and Princess Stephanie and the Lademacher family.