He told the crowd of more than 5,000 at the Ovation Hall at Atlantic City's Revel Resort in song form: "Now you having my baby," to roars from the crowd.
West also told concert goers to congratulate his "baby mom" and that this was the "most amazing thing".
Kourtney Kardashian and Kris Jenner were among the family members who also tweeted about baby news.
The couple only went public with their relationship for the first time last March.
Kardashian married NBA player Kris Humphries in August 2011 and their divorce is not finalised.
Kim who is well known to fans of Keeping Up With The Kardashians is thought to be around the 12-week pregnancy mark.
The 32-year-old and Kanye (35) were last seen together on Christmas Day at a basketball game to watch Kim's brother-in-law Lamar Odom play.
Kanye was seen carefully attending to his girlfriend and holding her hand. They left at half time, with Kim later tweeting that she felt "unwell".
After the news of Kim's pregnancy broke last night her family took to Twitter.
Her sister Kourtney wrote: "Been wanting to shout from the rooftops with joy and now I can! Another angel to welcome to our family. Overwhelmed with excitement!"
Meanwhile, her sister Khloe wrote: "KIMYE!!!!! Keeping secrets is hard with so many family members! Especially when you are so freaking excited!!!!! LOVE is everything!!!!"