The couple will travel to the Grand Duchy from their home in France this week for a family occasion. They will celebrate the first communion of Prince Gabriel, oldest son of Felix's brother Louis and his wife Tessy, and will then stay until the birth of their own child.
Prince Felix and Princess Claire married in a civil ceremony in Germany
This means the baby could be born in the same hospital as Felix - the Maternité Grand-Duchesse Charlotte of the Centre Hospitalier de Luxembourg.
Felix, who is second in line to the ducal throne tied the knot with Princess Claire, née Claire Lademacher, in a beautiful ceremony witnessed by family and friends in September last year.
For the celebration - in a magnificent 13th-century church in the Provençal village of Saint-Maximin-la-Sainte-Baume - the bride wore a stunning gown by Lebanese maestro Elie Saab, complete with intricate lace sleeves and a diamond tiara.
Guests included Monaco's Pierre Casiraghi and his girlfriend Beatrice Borromeo, and members of the Luxembourg's Grand Ducal family, including the heir Prince Guillaume with his wife Princess Stephanie.
Since marrying the young royals have been living in the south of France at the Château Les Crostes, which is owned by the Princess' family.
He has been studying oenology and producing wine, while Claire continues with her PhD in the field of bio-ethics.
Prince Felix and Princess Claire had a joyous religious ceremony in Provence
The pregnancy was announced at the start of the year.
"Their Royal Highnesses the Grand-Duke and Grand-Duchess of Luxembourg are very pleased to announce that Prince Felix 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."